Photoshop CS3 is a bitmap manipulation application. A bitmap also known as a raster image consists of a matrix (rectangular or square grid) of pixels. Pixels can bit set to a color and although to the human eye they appear to represent shapes they are simply dots on the computer screen.

A vector is more like an algebra or geometric equation than a simple grid of dots. Although to display on the screen a vector application creates a simple bitmap to represent that equation. Internally programs that use vectors need the equation and not the simple grid.

Xara3D6 requires the vectors (the equations) to calculate the extrusion. The vectors can be in windows metafile (WMF or EMF) format or in Xara formats of .xar or .web file format.

Do not be confused by the .wmf and .emf formats because they do not convert bitmaps to vectors. So you cannot simply import a bitmap or create one in Photoshop and save to the .wmf file format. The metafile would contain only a bitmap and no vectors.

The easiest way to create the shape or shapes would be in Xara Xtreme. You could use another vector application like CorelDraw or Adobe Illustrator but you would need a lot longer to learn those applications and then limit yourself to .wmf vector file format.