Adobe Photoshop is not a window application like in Windows, Mac OS X is document based, thus no window background is visible with no open documents.
When you have an image open, use the F key to cycle through different display modes, two of them hide the Desktop background image.
Btw, what you see is not the screen saver, but the Desktop background image.
Go to System Preferences > Desktop & Screensaver to see the difference.
Also have a look at the following links, as the information presented there might be helpful in your future endeavours into Mac OS X and could clear up initial confusion and may even prevent harm to your system or your files.