When I make adjustments in Lightroom on DNG files, the changes do not show in the original file when I open it in photoshop CS4.
depending on exactly how you're opening the files in CS4, this is expected behaviour. When you make changes in LR, it doesn't alter the DNG file. It just remembers the instructions for making those changes so that it can render a changed version of the file every time you look at it in LR. To see those changes in a program other than LR, you have to bake them in by exporting the file, or opening in CS4 with LR adjustments.
One way to think of it is that looking at your image in LR is like seeing it through a bunch of optical filters [a bit of +exposure here, a little -saturation there etc]. The thing you're looking at is unchanged until you tell it to glue the filters down onto the image.
This is the whole business of non-destructive editing. LR allows you to experiment freely with different permutations of settings without ever changing [damaging] the underlying image file. Once you hit upon a set of settings you like, you can bake them in [export them] and see the modified result in other programs.
