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You should be able to shift-click on the folder icon on the bottom of the layers palette and move the linked layers into a new group/set. I've used both terms because CS2 now calls them groups, but previous version called them sets and they are really the same thing. you will want to have one of the layers highlighted first in the layers palette so it know which layers to move into the set.
There should also be the option under the Layers Menu>group layers - but this might only be in CS2, or named a little differently in previous version.
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