Tom, smart objects were introduced in PS CS2 in 2005. But probably the functionality was not yet what it is now.

http://en.wikipedia.org/wiki/Adobe_Photoshop_release_history

There is a way around it if you don't have access to the smart object layers.

In Camera Raw, you can adjust the exposure settings like in step 1, then just open up the image in PS and save it in the highest setting (be it JPG or Tiff or even PSD). Open your original image again in Camera Raw and save a second file with the second exposure setting. Do this for each of the required exposure settings. Best way is to number the files in a logical way, so you'll see which is the lightest and the darkest one.

Then, in Photoshop, go to the File menu, drop down to Scripts and choose Load Files into Stack (I hope CS2 has that feature ;o)). If you have the files already open in PS, choose Add Open Files; otherwise, browse to your pack of saved files, select them all and click OK. Each one of your files will be stacked as a subsequent layer, all in one new document. They will not be smart object layers, but that doesn't matter now (that's what this workaround is for).

(If you don't have this Script feature in CS2, you'll have to duplicate the layers from within each image onto the lightest image).

If needed, arrange the layers in your layer palette so that the lightest one is at the bottom and the darkest one is on top, with all gradations nicely in between.

Then continue with step 4 above: blend every layer above your bottom layer with the underlying layer.

The last step is to adjust the individual layers; the Shadows/Highlights command works best for me (forgot to mention that in step 6 above).

We do not see things as they are. ǝɹɐ ǝʍ sɐ sƃuıɥʇ ǝǝs ǝʍ