GIMP is your best bet for freeware.... for cheap-ware, I'd recommend Photoshop Elements. "Elements" is a scaled down version of photoshop that still has the most essential features, including PSD and layer handling. Typically it can be had for around $25-$45.
Doesn't Pain Shop Pro have nearly as many features as Photoshop (not all, but a LOT more then Elements) & costs under $100? Before I really got in to gimp I considered that one.
(the only thing that appear is a small box with menu 2)
First thing's first: Did you double-click that "small box" to see what it leads to?
As per the wording of the option you chose, DVDA inserts a submenu based on your PSD file. It doesn't replace the menu you're currently looking at. So the "small box" you see is the button linking to the submenu you just inserted.
Once you see if that's working, then we can move on to naming conventions, frame sizes, and making sure you have all the necessary layers (which, based on your post, I don't think you do).
Or you could skip all this mess and go with custom highlight masks, which I personally find simpler and more effective.