The implication of using the CMYK color space is that you will getting it printed professionally by four-color process at some point. PSE is designed for home use. You can do some things with RGB images and then convert to CMYK using Richard Lynch's tools, but you won't be able to work natively in PSE in the CMYK color space.
You need PS CS2 and your editing abilities will be limited there. Unless you have Illustrator or another vector-based editor that will open Illustrator files. Out of curiosity, what are you trying to do to the file?
I am a graphic designer, using Illustrator to create four color printed artwork. I now am using Photoshop (I had hoped Elements...) to add effects to the artwork with brushes, etc... Looks like I'll have to buy CS2 now, bummer..... pricey.
"you won't be able to work natively in PSE in the CMYK color space."
James, thanks for the mention. What you say is true, but also as a professional I really almost never work in CMYK. I work in RGB and then convert, which is the same way you would work toward CMYK in Elements. Elements CAN create CMYK files with the right methodology, and that may be all that is required here.
Alison, what are you trying to accomplish exactly? is there a reason you don't want to work in Illustrator to edit the file?