When you export out of CS4 with the Media Encoder I am assuming that you are exporting a MPEG 2 that is DVD Complient. If so click on the Multiplexer tap down twards the bottom right hand side of the Encoder window if you have DVD checked it will export 1 file, if you have None checked it will export 2 seperate files. I personally always leave it on None so that I can have 2 seperate files to import into Encore. That way I can change one or the other if I have to.
I am using Premiere CS4.1 all day every day with no problems on a PC. It has its moments but for the most part it has been great. I use to use Avid but switched to Premiere about a year ago just to try it out and I really like it. The work flow was much easier in Premiere, plus I like the easy integration with After Effects, Photoshop, Audition and the other Adobe Products...
Phil