Path-to-selection problem

In Photoshop 6, when you made a path with a second path inside of it (let's say you draw a circle, and draw a second, smaller circle within it using the path tool), when you made a selection of that path, the selection would have a hole in it... as it should.

But in Photoshop 7, the selection takes the shape of the outermost path and ignores the inside path. This is very annoying and shouldn't happen. Does anyone know why this now happens and if it's a setting that can be changed?

In the options bar for the pen tool - on the set of boxes on the right, you want the fourth option.

This should be in the FAQ's.

To Jason: Thanks!
To Ken: D'oh! You're right!