Just a heads up to save anyone an hour of their time trying to track down this bug/feature.
I just upgraded from PS CS3 to CS5 (with LR3) and the first time I went to print an image noticed that File>Page Setup has gone. Ok I thought, I'll see what my margins etc will look like by selecting Preview in the Print Settings dialogue box. Fine, did that and then found that from then on every print had to be printed from Preview! That is clicking on Print in the PS Print dialogue box took me to Preview rather than the Print Settings dialogue box.
You have to trash your PS prefs to restore the default behaviour.
For the record running 10.6.3 but I think it is a PS bug rather than a OS problem.