I believe that's a node not a line. The two lines you're seeing are the control points the arrow shows you the direction of the curve, the length of the control points shows how dramatic the curve will be. With Bezier mode if you drag when you create a node it'll drag out the control points.
I recommend turning on connect segments as it will auto connect points as you click.
With the pen tool you click to add a node, you click and drag to create a node and drag out the control points of the curve. You have created a node here, and dragged out the points, but you need at least two nodes to make a line. So click again on the canvas to make another node and complete the line segment. It will be curved.
Steps for a line with the pen tool:
1) Click to add first node, you can drag out control points here if you want, but it's rarely necessary or immediately useful unless you know exactly the angle and strength of the curve you want. You can edit it later
2) Click again and drag, this will add the second node of the line segment, PSP will auto connect the two nodes to create a single line segment. Dragging will pull out the control points allowing you to control the angle of the curve and strength.
3) To edit the nodes go to Edit mode on the toolbar and move the control points around to control the curve.
