I was surprised to see that Photoshop CS4 cannot export multi-page PDF. After a little research I discovered that Bridge took its place. Here’s how to do it:
Step 1. Start Adobe Bridge and browse for the desired files (.PSD or .PDF format is recommended, although JPEG or PNG files will work just fine).
Step 2. Select your files in the desired order (holding CTRL key).
Step 3. Select OUTPUT (or press CTRL+F4).
Step 4. Tweak the settings in the right panel. Do not check “Open in Full Screen Mode”. It could generate security errors on Windows Vista.
Step 5. Press “Save”.