Let's do it.
1. Open new files in Illustrator and Photoshop.
2. Create a custom shape using the custom shape tool in Photoshop.
3. Select the path selection tool in Photoshop and click and drag over your custom shape.
|Direct Selection Tool|
4. Drag this down to your task bar and release into Illustrator.
Note: If you cannot see your task bar at the bottom of your screen, minimise your window in the top right.
And hey presto! You're done!