Make sure to click Set Path.
Render All States. State Sets renders the output bitmaps.
Compositor View—or Compositor View (RE) if your scene uses render elements.
Create PSD. State Sets opens the Render to PSD dialog.

State Sets saves alpha data in a Layer Mask for each layer, making it easier to control compositing in Photoshop.
The image is rendered using the Output Size setting on the Render Setup dialog.