Could be wrong, but I don’t think it’s possible in CS to open Acrobat PDFs as layers (maybe in CS2).
Don’t recall if I had to change a setting to get it this way, but each time I open a PDF in Photoshop a dialogue asks me which page I want to open. I then reopen it to get each page that I want and copy them into one layered PSD. May seem like a pain, but it’s pretty quick and not a problem for me since I never need more than 3-4 pages out of a PDF in PS. Plus, it’s worth the trade off of getting the PDF text on a transparent background allowing me to use it that way or put it on the “paper” of my choice, which is pretty handy since I’m usually bringing PDFs through Photoshop to prep them for After Effects.