The following Adobe web page indicates need for Adobe Camera Raw version 5.4 and Photoshop CS4 to handle the Nikon D5000 RAW files.
http://www.adobe.com/support/downloads/detail.jsp?ftpID=4517
Alternatively, you may use the option of installing latest version of freeware Nikon ViewNX that allows one to handle the RAW file and port it to Photoshop via TIFF file format seamlessly.