Photoshop creates raster images, which are engraved. You will need to create vector paths in order to generate Cut lines.
There’s a tutorial here that explains the difference:
If you have Adobe Illustrator as well as Photoshop, that would be the place to take the jpeg you created and do a Live-Trace on it to turn it into cut or score lines. (Or Inkscape is another option that’s free.)
The link that @evansd2 gave you will take you to a Matrix of tutorials on how to use the outside design programs to create files for the Glowforge.