Eisbaer:

The Favorites Panel is still a feature of Bridge CS4 and works in the way that it always has.

To see it from Photoshop, choose File menu/Browse in Bridge; or Cmd Option O; or click the Bridge Button on the Application Menu Bar

If you did the full installation of Photoshop CS4 correctly, you should already have Bridge installed on your computer.

If you haven't, run the CS4 Installer again.