Ya need to slice the pds file and convert it to html. Photoshop can do this but i recomend Fireworks. After that you have to separate each part to mimic the structure of a wp theme and incorporated the PHP programing to it.

If this is your first time ya should read the wordpress codex and get a feel of how to build a theme.

There are various services to convert a PSD into a Wordpress theme, I highly recommend using one if you haven't done it before.

Your first sentence itself is confusing. You say you have a Wordpress theme with a photoshop file. So if you have a Wordpress theme, why do you want to go through photoshop ? You can just install the theme.

Goto view -> show - > slices, in the psd in photoshop

chances are the slices are already there.

make your changes then goto file - > save for web and devices, and it will create a new image pack for you