I am trying to create a box shape using pen tool but its looks jagged, and when I save this image its looks very rough. How can I fix this kind of problem?
When you place the AI file in Photoshop, Photoshop must render the vector file as a raster image. The aliasing will be lessened if you have more pixels available between the endpoints.
In short, you will probably have better results if the pixel dimensions of the Photoshop document are larger. If you have the document set to the final target size, you might experiment with a copy of the file which is twice the size and then reduce the pixel dimensions during "save for web" or export.