Yeah that's how bridge works. You can launch it within PS, you can launch it seperately, and you can set it to open when you launch PS also.
By default, when you double click a thumb in bridge it opens it in PS inside the camera RAW module. At least for jpegs and RAW files anyway.
Judging by your statement, I assume you don't use keyboard shortcuts.
PS is meant to be used with shortcuts. You can perform functions immediately with shortcuts that takes several clicks through menus and sub-menus with the mouse.
There are also functions that can't be performed without shortcuts too.
Like merging all adjustment layers up or down into a new layer without losing them all. That comes in real handy if you use alot of layers in your work.
There's also shortcuts that load channels as a selection, or elements such as luminance as a selection.
The basic shortcuts such as save, new, open, undo, redo, cut, copy, paste, are all standard shortcuts. Meaning they are the same as most other app shortcuts including OS functions.
Many people are hesitant to learn shortcuts. But once you get to the point where you know what you're doing in PS and need to be efficient in your work, you realize you HAVE TO learn them.
If you do a google search on CS3 keyboard shortcuts you'll find a PDF file of a quick reference card you can print and keep next to you or on your wall that lists all the shortcuts.
I have it tacked on my wall next to my monitors and still use it frequently.
After a little while you'll remember your most frequently used shortcuts and only refer to the card occasionally for stuff you don't use alot.
I can't imagine NOT using them. Don't you get sick of fumbling through menus all the time?
It's so much easier to just hit command+S(control+S on Mac) to save instead of going through menus, especially if your deep into something like making a difficult selection or laying down paths and can't move your cursor across the screen.
Shortcuts REALLY are the way to go if you want to make PS work for you.