What color mode is the PSD file in?
"Layered Photoshop (PSD) files need to be saved in RGB or Grayscale color mode for After Effects to import them as a composition and to separate the layers. CMYK, LAB, Duotone, Monotone, and Tritone color modes are not supported for layered files; After Effects will import a file that uses one of these color modes as a single, flattened image."
BTW, not relevant here, but if anyone comes to this thread with a similar problem: you can have dificulties importing a psd file from a newer version of Photoshop than AE.
For exemple, if you import a CS4 psd file into a CS3 AE, if your psd uses new features from PS CS4, you have a good chance that AE will import a merged version rather than a layered version.