Regarding your question, there is no right or wrong answer and it highly depends on the way you work. Some people would use Photoshop or similar to design a detailed mockup of what they will build. Other use DreamWeaver to do the coding. Some uses Flash to do bits of animations and small videos. It simply depends on your workflow and which tools you prefer.
Some people don't even use Adobe products because, as good as they are, they are extremely expensive. And there are good alternatives out there.