Could you please be more specific about the error message you are receiving when you attempt to install Photoshop? The more details about your setup, the better: Go to About this Mac under the Apple Menu and tell us all of the information listed.
You say you are a "first time Mac user" but you already own Photoshop CS4: are you attempting to install a Windoze version CD into your new Mac? If so, are you running Windows on your new Mac (either through Bootcamp or virtualization, such as through Parallels or VMWare)? If not, a Windows version CD will NOT install on your Mac: you will have to acquire a new copy specifically for the Mac (or run it through Windows on your Mac).