Are you using DNG converter 5.4? If you are trying to use a version that coincides with your version of Camera Raw it won't work. You need to make sure you are using the latest version of the DNG converter. It will create DNG files that are compatible with any version of Camera Raw from version 2.4 onward.
The DNG converter version was 3.7. I downloaded the version that was listed under Photoshop CS2 here: http://www.adobe.com/support/downloads/product.jsp?product=39&platform=Windows since that's the version I have.
Tried downloading & installing 5.4 and everything works like a charm.
Sorry for the trouble, it was that list that confused me, thought it wouldn't work with the later version.
This seems to be an inherently confusing issue. We are always telling people to make sure they have a version of ACR that supports their camera, so it's easy to mistakenly match the DNG converter by version as well. But as I stated previously, you always want to try to have the current version (i.e. highest version number) because it will support the most cameras and have any minor tweaks that will be undocumented for the most part. I'm glad we were able to pinpoint the problem for you.
Maybe that another problem the reason for not being converted.
I found out, if I had opened the *.nef files by Nikon Capture and stored it again they cannot be read by bridge or photoshop.
If they are imported directly without Nikon Software you can see both the thumbs and also start photoshop.
Maybe thtat this the reason for being not compatible.
But is there a way to read the *.nef files after imported by the nikon software?