You can make contact sheets in PSP ( at least in PSPXI and backwards) I am not sure about PSPX2 since they changed the way the browser/organizer works now and I haven't allowed X2 to add any of my photo's to it's database so I can't try it for you.
But in PSPX I find the folder I wish to view in my brower and have it so the little thumbnail images are showing and then right click and pick "Print Contact Sheet". Then the window comes up where you can modify the size of your proof images by changing the sizes of your template selection. Or select a whole different Template to use.
Or PSP has the Print Layout in the File menu, but the problem with this one is you have to maually drag over every image to the template layout. You can also find different sizes of templates in the print layout with File New layout and then you can choose from all sort of combinations.
The other program that I would HIGHLY recommend for making contact sheets would be ACDSee Photo Manager. I know it's not free but possibly if you have clients that pay you this would be a very valuable asset to "own"!
It can also make you html pages that play as a slide show which you could burn to CD, clients could play it on their computer but wouldn't be able to grab those images since it takes the resolution down to either 72 0r 96 and you can control all that and more when deciding how you want to display them.
Besides that once you start using ACDSee for your digital kits and photo's you will never browse to those images again using Explore or PSP.