Yes you need to install it from the optional download files. There is one for CS5 you also need to download and install. Adobe dropped support for Picture Package in CS6 however PC users can install the CS5 plug-in into CS6. Mac users can not for the CS5 plugin for the Mac is only 32Bit and CS6 on Mac is 64Bit only.
You can also download them from here:
windows photoshop cs4:
mac photoshop cs4: