I think you have to load them into each program separately. For Photoshop go to Applications > Adobe Photoshop CS4 > Presets > Color Swatches and drag and drop it in there. For Illustrator it's the same but the folder is just called "Swatches". In InDesign you have to use the the "Load Swatches" feature in the swatches panel from which you can access the swatches from the Illustrator or Photoshop folders.
If it's Indesign, illustrator, flash, Photoshop or fireworks, then you can directly add them to swatches panel using kuler's Add to Swatch functionality.
you can even share swatches by creating and saving them in one program and then accessing 'Saved themes' in another.