As others have mentioned, Photoshop doesn't open CR2 files without Adobe Camera Raw. Go to Bridge, and then select on your images, right click and select the Open in Camera Raw option.
I'm not sure what the plugin you've downloaded is, but if I recall correctly, it's entirely possible that you didn't install Bridge and/or ACR when you installed Photoshop. However, if you re-run the installation from your Photoshop CS5 disc, you'll find the option to install Bridge and ACR if indeed these weren't installed the first time around.