You mean this one
[link] ?
If so they yes it should have pressure sensitivity
Just to be 100% sure do the following steps:
Open a blank document in Photoshop, press 'b' (to activate your brush) and press f5. This should open this window -
[link] Select a basic round brush.
Make sure the highlighted options are checked (Shape Dynamics and Other dynamics)
Now hold down 'shift' on the keyboard (to make the line straight) and run your pen across the tablet, pressing firmly at first then reduce the pressure.
The line you produce should look a little like the bottom of these two -
[link]If it looks like the top line then there may be a problem with the software so make sure all your drivers are up to date (at the wacom website), reload photoshop and try again. If it still looks like the top line then either the tablet doesn't have pressure sensitivity or there may be a fault with the tablet.