To add onto this...the conversion to raster comes when you "rasterize" a layer, or you export to a raster format like jpg. PNG, when used with fireworks, can retain vector data, but you have to resize it in a vector IDE, you can't just take the PNG image and resize it (because it would then be rasterized). If you keep a shape [unrasterized] in its original vector format in photoshop (with the hard dark border around it), you do indeed have a true vector shape.
Before everyone flies off the handle, read what Jeff and I said. If you don't think any of this information is accurate, I implore you to research it. This debate has happened too many times to give it credence for more.
The fact of the matter is this: Photoshop and Illustrator (and flash and fireworks) all offer the ability to create vector. The defining point is that illustrator is the most logical choice when you want to create a vector and be able to retain control of the file. Photoshop is designed for raster. Illustrator is designed for vector.
Yeah, a good question for this is...why? LOL
Kind of defeats the purpose of doing it in illustrator if you're going to resize it in photoshop...