Note that a PhotoShop file has nothing to do with the .DDS file format which is a Microsoft format used in XNA.
At this time import of .DDS files into PhotoShop requires using a third-party converter: do a search on "photoshop create .dds file" to see what's available, now.
nVidia provides some tools for inter-op between PhotoShop and .DDS files: [
^].
To see what other people have done with .NET .DDS files, start here: [
^]