That's always been the case with Windows software. Being able to see through to the desktop is a Mac thing, and at times a very confusing thing, especially with multiple monitors.
When the new CS4 UI was announced a while back, the amount of hate Adobe got from demented fanboys who hadn't even used it was remarkable.
The new CS4 UI is a huge improvement on the Mac way of doing things [and yes I have used it extensively]. Good news for you, yes you can have multiple docs open on a grey background. You simply pull the tabs away from top and there you go. But you can also tile things out in numerous ways and even have multiple sets of tabbed documents, it's a big overhaul and so much better, than CS3.
Plus for those who don't want to move on, you can still use the clumsy old method.