Yes this a CS3 feature, although I remember it being avaiable as a separate download somewhere - it works w/CS2 (and 7 I think).
I'll copy it below, save it in Notepad, name it "Load Files into Stack.jsx" (no quotes) and put it in C:\Program Files\Adobe\Adobe Photoshop CS2\Presets\Scripts\

// (c) Copyright 2006. Adobe Systems, Incorporated. All rights reserved.

/*
@@@@ Load Files into Stack.jsx 1.0.0.0
* /

//
// Load Files into Stack.jsx - does just that.
//

/*

// BEGIN__HARVEST_EXCEPTION_ZSTRING

<javascriptresource>
<name>$$$/JavaScripts/LoadFilesintoStack/Menu=Load Files into Stack...</name> <about>$$$/JavaScripts/LoadFilesintoStack/About=Load Files into Stack ^r^rCopyright 2006-2007 Adobe Systems Incorporated. All rights reserved.^r^rLoads multiple files into a stack object.</about>
</javascriptresource>

// END__HARVEST_EXCEPTION_ZSTRING

* /

// debug level: 0-2 (0:disable, 1:break on error, 2:break at beginning) //$.level = (Window.version.search("d") != -1) ? 1 : 0; // This chokes bridge $.level = 0;

// debugger; // launch debugger on next line

// on localized builds we pull the $$$/Strings from a .dat file $.localize = true;

// Put header files in a "Stack Scripts Only" folder. The "...Only" tells // PS not to place it in the menu. For that reason, we do -not- localize that // portion of the folder name.
var g_StackScriptFolderPath = app.path + "/"+ localize("$$$/ScriptingSupport/InstalledScripts=Presets/Scripts ") + "/"
+ localize("$$$/Private/LoadStack/StackScriptOnly=Stack Scripts Only/");

$.evalFile(g_StackScriptFolderPath + "LatteUI.jsx");

$.evalFile(g_StackScriptFolderPath + "StackSupport.jsx");

$.evalFile(g_StackScriptFolderPath + "CreateImageStack.jsx");

/*********************************************************** */ // loadLayers routines

loadLayers = new ImageStackCreator( localize("$$$/AdobePlugin/Shared/LoadStack/Process/Name=Load Layers"),
localize('$$$/AdobePlugin/Shared/LoadStack/Auto/untitled=Unt itled' ) );

// LoadLayers is less restrictive than MergeToHDR
loadLayers.mustBeSameSize = false; // Images' height & width don't need to match loadLayers.mustBeUnmodifiedRaw = false; // Exposure adjustements in Camera raw are allowed loadLayers.mustNotBe32Bit = false; // 32 bit images
loadLayers.createSmartObject = false; // If true, option to create smart object is checked.

// Add hooks to read the value of the "Create Smart Object" checkbox loadLayers.customDialogSetup = function( w )
{
w.findControl('_createSO').value = loadLayers.createSmartObject; if (! app.featureEnabled( localize( "$$$/private/ExtendedImageStackCreation=ImageStack Creation" ) ))
w.findControl('_createSO').hide();
}

loadLayers.customDialogFunction = function( w )
{
loadLayers.createSmartObject = w.findControl('_createSO').value; }

// Override the default to use "Auto" alignment. loadLayers.alignStack = function( stackDoc )
{
selectAllLayers(stackDoc, 2);
alignLayersByContent( "Auto" );
}

loadLayers.stackLayers = function()
{
var result, i, stackDoc = null;

stackDoc = this.loadStackLayers();
if (! stackDoc)
return;

// Nuke the "destination" layer that got created (M2HDR holdover) stackDoc.layers[this.pluginName].remove();

// Stack 'em up.
if (this.createSmartObject)
{
selectAllLayers( stackDoc );
executeAction( knewPlacedLayerStr, new ActionDescriptor(), DialogModes.NO ); }
}

// "Main" execution of Merge to HDR
loadLayers.doInteractiveLoad = function ()
{
this.getFilesFromBridgeOrDialog( localize("$$$/Private/LoadStack/LoadLayersexv=LoadLayers.exv ") );

if (this.stackElements)
this.stackLayers();
}

loadLayers.intoStack = function(filelist, alignFlag)
{
if (typeof(alignFlag) == 'boolean')
loadLayers.useAlignment = alignFlag;

if (filelist.length < 2) { alert(localize("$$$/AdobeScripts/Shared/LoadLayers/AtLeast2=At least two files must be selected to create a stack."), this.pluginName, true ); return; } var j; this.stackElements = new Array(); for (j in filelist) { var f = filelist[j]; this.stackElements.push( new StackElement( (typeof(f) == 'string') ? File(f) : f ) ); }

if (this.stackElements.length > 1)
this.mergeStackElements();
}

if (typeof(loadLayersFromScript) == 'undefined')
loadLayers.doInteractiveLoad();

Del_Frost

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Open multiple images as one layered file