You didn't mention what version of Photoshop you are using.  If you are using CS 5 then you need to download ACR 6.7 RC, which is available on the Adobe Labs web site.  It is a release candidate, but it is necessary in order to send all of your Lightroom adjustments to Photoshop.  If you are using an older version of Photoshop then you need to render a copy using Lightroom adjustments and send that copy to Photoshop.  The correct release of Lightroom only remains compatible with the current version of ACR, and ACR is only updated for the current release of Photoshop.  The only exception to that is that there apparently will be a final version of ACR for Photoshop CS 5 that will read the Lightroom 4 adjustments.  It hasn't been released yet so in the meantime use the 6.7 release candidate.

Another thing you didn't mention is whether or not you are shooting raw images.  Assuming that you are, when you choose to edit in Photoshop, Lightroom should give you a choice of whether to edit the original or a copy with Lightroom adjustments.  You should choose to edit a copy with Lightroom adjustments.  Lightroom will then create either a TIF or PSD image, depending on your preferences, and send that image to Photoshop.  At the end of your Photoshop editing you will save that image and it will appear in Lightroom along with the original.  The only difference in the process is that the TIF or PSD image is saved at the beginning of the editing process rather than at the end.  Photoshop cannot write changes to the raw file.  If you send a raw image to Photoshop from Lightroom there will always be a second image when the editing process is complete.