Question: If I open up a NEF file in Photoshop CS2, why can't I save it as a JPEG when I've finished editing it?
That's a bit of a puzzler but after a bit of searching round and some divine inspiration (ie. clicking on everything!) I managed to recreate the problem.
Originally I was thinking this was an interface bug with CS2 but actually the problem occurs during the import process when the Photoshop Camera Raw dialog box is displayed (where you can set the white balance etc). Check near the bottom of the screen and reset the color depth to 8 bits per channel.
If you've already imported the RAW file and edited you can reset the color mode to 8 bits per channel by clicking Image > Mode >8 bits per channel. Saving as a JPG will reappear among the file format in the save dialog.