What precisely are you doing? If you're just starting CS4 without trying to load an image, and it gives you that error, something's wrong with your CS4 installation.
If you can start CS4 normally, but then file -> open of your NEF file fails, I'm not sure what the issue is.
However, I don't think it's the camera's firmware. Nobody else with a D5000 is having any trouble as long as they ACR 5.5 or later, and I think the latest firmware is still A1.00/B1.00, meaning that there are no updates.
_____ Brian... a bicoastal Nikonian and Team Member
My gallery is online. Comments and critique welcomed any time!