CS4 does not ship with a plugin for Kodak Photo CD format. Fortunately, the plugin that came with CS3 works. The file, color profiles for Mac and Windows, and readme are on the CS3 installation disk. If you haven't uninstalled CS3, you can copy the plugin. The required color profiles should already be in the Common Files folder (Windows). The readme also says,
"Note also that Photo CD does not work on Intel-based Macintoshes unless you run Photoshop under Rosetta."