Hey Lance-
Open your "Actions" palette in PS CS3 (this is on a Mac but the process should be similar). Select the "Set" of Actions you want to export. In the upper right side of the palette you should see a small triangle with 3 horizontal lines to the right side, click this. In the drop down menu, select "Save Actions". If you want you can save it to your desktop for easy finding. Now, I DON'T have CS4, so I'm taking a guess here. Then open CS4, go to your actions palette, click the same triangle/3 horizontal lines menu button and select "Load Actions", navigate to your desktop and select the .atn file.
Hope this helps.