EDIT: Doesn't work. Sigh.

Quoted: The solution, found in a few user forums, is in the AlwaysImportClipbd_ON.reg file, contained on your Photoshop/CS install disk. Go to \Photoshop CS3\Goodies\Optional Plug-Ins\Photoshop Only\Optional Extensions or the equivelant folder on your disk, and run that file.
If you don’t have the file, don’t fret! It’s a simple registry file, and that means you can create it yourself right now without the install disk. Open Notepad and type:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Adobe\Photoshop\10.0]
“AlwaysImportClipboard”=dword:00000001