This is a feature I've ignored for years. Last night, I attempted to save some metadata in a JPG, through File > File Info. I filled in the fields for "document title", "author", "description" and "keywords" and checked off "copyrighted". I then clicked OK, and re-saved the JPG. I closed the image, then opened it up again in Photoshop and went back to File Info - but all of the data I saved didn't appear - all of the fields were blank. How do you get the meta information to save?! I can't see why that didn't work...
I don't know what version of Photoshop you have but when I do it in CS2 it works fine. There is a brief tutorial here: www.depiction.net/tutorials/photoshop/fileinfonotes.php but it's not much different than what you already did...
I have CS2 as well...I actually tried doing this at work - I have CS3 there. It worked fine! I can't imagine why it's not working with CS2....I'll try using Adobe Bridge and see if that works. I have a feeling that this has a lot to do with getting good SERP's for google image results.