EDIT: Sorry the first part of my post didn’t make it…..

 The above script is for Photoshop CS.
If you are using PS CS3 or CS2 (I think CS2 has it) you already have a built in script that does the same thing.
Just go to File>Scripts>Load Files into Stack.

The AV script is still worth while if you already have multiple documents already open, and want to put each on a separate layer in just one document.