It might be wise to ask this on the Lightroom forum, Erwann. Since a lot depends on the formats you can export from Lightroom.
However, these two programs don't at all share a workflow -- so you're probably not going to be able to convert your catalog directly from Lightroom to the Organizer or convert a work in progress in Lightroom to a work in progress in Premiere Elements. You will either have to gather the individual clips and assemble them in Premiere Elements or you will need to output a finished slideshow from Lightroom in a format that you can import into Premiere Elements.
Also, note that Premiere Elements is VIDEO editing software. The reason I point this out is because video is relatively low resolution. (Standard video is the equivalent to a 640x480 pixel photo.) So photographers are often a bit disappointed with the transition from photos to video. If your goal is to showcase a high-resolution, full-quality showcae of your work, Premiere Elements (or any video editing software) may not be the best way to go. But that's up to you.
Finally, if you can't find an expert here or on the Lightroom forum, you may want to post your question to the Community Forum at Premiere Elements support site http://Muvipix.com. There are experts there with such a wide range of knowledge that you can often get an answer to almost anything video or Adobe related there within an hour or so.
You might already know, but Lightroom's .lrcat is really just a complete relational database system housed within a single file. And Premiere's project files are .xml, so yes, the file formats are completely incompatible.
I don't know of any automated way to get a collection into Premiere. I think you will have to do an export.
I only have LR 2, so I'm not sure how the videos would work as far as exporting, but the pictures should be relatively straightforward. You can just select the entire collection and export them to a temp folder as JPG, PSD, TIF, or DNG. I'm sure Steve or others could chime in on the preferred format but I would guess PSD or JPG.
Then just suck that temp folder into Premiere.
Also, as you may or may not know, large-pixel images do not work well in Premiere, so in your LR export step be sure to limit the exported images to specific pixel sizes. If you plan on doing this more than once, you could save the export settings as a preset.
Excellent advice, Ed!
1000x750 pixel JPEGs are the ideal size and format for photos loaded into Premiere Elements.