Support for NEF files must be added for each separate camera model. You are using Photoshop CS2, which is quite old. If your camera was released after support ended for Photoshop CS2, then you will have to download the latest version of the DNG converter can convert your raw images to the DNG format. Or, to make things easy, just upgrade to Photoshop CS4.
Just to elaborate on Jim's response, this Adobe Tech Note details which Nikon cameras are supported by each version of ACR:
The ".NEF" extension is not specific enough. NEFs from each Nikon camera model are different.