The very word, photon, belongs to the quantum mechanical regime. It is one of the elementary particles in the standard model of particle physics. Elementary particles are described with quantum mechanical wave functions, which are complex function. The complex conjugate square gives the probability of finding the particle at (x,y,z,t).
In the case of the double slit experiments single photons at a time and single electrons at a time display points on the screen which accumulated give a probability distribution that has wave, i.e. sinusoidal, behavior. The wavelength for the photon is the wavelength of the beam, and for the electron the de Broglie wavelength, and both particles leave points on the screen. It is the much discussed wave particle duality.
A beam of electrons is composed of electrons, and a beam of photons is composed of photons and is called light. The wavefunction of the photon is complex and contains information of the classical potential A of Maxwell's equations. Thus, though the photon itself has only energy and spin to describe it,( spin +1 or -1,) it builds up the electric and magnetic fields in confluence with a huge number of other photons through the complex wavefunction. This illustration is useful:
The mathematical format of how classical electromagnetic fields emerge from a confluence of photons can be seen in this blog post by Lubos Motl.
See also this question and answers here.