This is pretty easy to do, but it does take a few steps.
Open up a blank document in PSE. (I'm using PSE9 on a Mac). Click on your shape tool and choose the rectangle tool.
Draw a rectangle the size you'd like your pennant.
Add another layer, choose the rectangle tool, and click on the little drop down at the top for the settings. Choose "Square."
Draw a square.
Now, rotate the square at a 45 degree angle (command T to transform, then change the angle in the box in the top middle to 45).
Now, choose both layers and align the vertical centers.
Drag the square (now in a diamond shape) to the edge of the rectangle. (Make sure you keep them vertically aligned, either move using your left arrow or just realign them when you've reached the edge where you want the triangle part cut out).
Simplify both layers by right clicking on the layer and choosing "Simplify Layer."
Now, while you are on the rectangle layer (see my layer palette), command + click on the square layer, so you have marching ants around the square.
Press delete. You should see in the layer palette the triangle part now cut out from the rectangle.
Drag the square layer to the trashcan.
Save it as a PNG and you'll maintain the transparency. At this point you can use your shape as the base for an element you're creating, you can create a brush, whatever you'd like with your pennant shape.