NEF is Nikon’s RAW format. You will have to process the images and convert to JPEG or TIF to import into PS, use the Adobe RAW converter or simply shoot JPEG (change camera settings).
what the other guys have said is spot on. When a camera comes out that is newer than your photo editing software, it cannot recognise the RAW filetypes from that camera. Like the other guys have said, you can download it from the Adobe and you simply replace the current RAW file reader with the latest one you downloaded and it should solve your problem.