Yes, it comes with software. It just doesn't do much (probably because they want to sell you Capture, as mentioned in my first post). lol You can't even do basic adjustments like White Balance and Exposure Compensation with the free Picture Project software from Nikon.
Yes, Camera Raw 3.x will work with newer versions of Elements, too. I just wanted to make sure the OP knows it won't work with PS7 (the version of Photoshop he's using). You have to upgrade to PS CS2 to use it with Photoshop.
But, it's not a bad idea to point out that Elements would be another option available.