Make sure that you save your watermark as a .psd file. After you have it saved, there are a few different ways to put your watermark onto one of your images. The easiest way, in my opinion, is to open both the watermark and the image. In Photoshop CS4, multiple images are organized in a new tabbed system, which makes switching between projects extremely easy.
Once both your watermark and image are open, I use the move tool to “pick up” the watermark, and I drag it to the tab of the photo I want to insert the watermark on. After about 2 seconds, the tab will open and you can continue to drag the watermark directly into the image. When you let go, a new layer will be automatically created and you will see the watermark on the photo.