Based on your post, you're using the InDesign contact sheet.
Bridge does not rotate the image. It sets a metadata flag. Photoshop recognizes this flag, InDesign CS3 does not (I haven't tried it in CS4 yet).
I will be writing a new version of the contact sheet script over the next few weeks.
The features I will be adding:
Ability to save multiple dialog settings
Improved dialogs
Heed rotation metadata
Bring back the ability to include subfolders
Regards
Bob