or did you just receive CS4?
If it really is PS4, then that would be a very old version of Photoshop and probably does not run on in OS X. It would need System 9 (aka Classic when run under OS X) to run.
System requirements for Photoshop 4 are Macintosh with 68030 or greater, 8-bit (or greater) color display
System 7.1 or later ,16 MB RAM (32 MB recommended) and 25 MB hard-disk space (those were the days)
If you are talking about CS4, now that's a whole other ballgame. Assuming the disks came from Adobe, or an authorized seller, and that your MacPro fits all the criteria, and that your MacPro can read other optical disks without a problem, I would contact the supplier of the disks and ask for a replacement.
Do you get any error messages when you attempt to run the installer? Even if SL did not support the application, the install process should at least start. DItto on the Learning disk too.
Just received my copy of photoshop 4 in the mail when I tried to install the disc my Mac Pro would not even run the install disc. The Learning disc would not run either. Is there an issue with Snow Leopard I don't know about? Tried other CDs with no problem.