Although CS2 lets you “drag select” layers (and by that I mean you can drag out a selection around objects on layers in your document, and any layers your selection touches will become active in the Layers palette as if you linked them together), you have to know where to turn this feature on. First, press V to get the Move tool, then in the Options Bar turn on the checkbox for Auto Select Layer. Now, click-and-drag within your image and any layer that falls within your selection becomes active. Now you can move them as one unit.