In Photoshop CS4, the core functionality of Contact Sheet and PDF presentation were updated and moved to Bridge and, in fact, this core functionality can still be found in Bridge today under the Output workspace -for a video tutorial click here (Creating Web Galleries and PDF Files).
If you still prefer to use Contact Sheet (which has the advantage of being able to save each thumbnail and text on its own layer), from Bridge CS6 choose Tools > Automate > Contact Sheet II. If starting in Photoshop CS6, choose File > Automate > Contact Sheet II. The only difference between starting in Bridge vs Photoshop is that in Bridge you can easily select your files first. From Photoshop, you will need to add files using the Contact Sheet dialog box. PDF Presentation can be found in Photoshop under File > Automate > PDF Presentation.