Photoshop LE, is the 'chopped down' version of Photoshop, and it is quite possible that as such, it doesn't support the .eps format.
I have never used LE so I am not sure, but what you could try and do is see if you can save from LE an .eps file format. (Save as). If it lets you do this, then in theory you should be able to read .eps files also? Just a thought.
Wild Stab: Maybe try renaming the file? lower case etc?
To be honest, I can't recall as I never used any EPS files with it.
But there must be a good explanation in the help files i suppose. By the way: they gave the PS5LE classroom in a book for free on their pacific site. I did find the link on the adobe forum. Unfortunately, I just lost all ,my links...
In the manual's index EPS is mentionned, perhaps you can find more info there, or in the help files...
Normally, Photoshop will have to render or rasterize vector information, and this is often very tricky. Still, it is a very useful technique as postscript is the main cause of printer's depressions. Therefore they choose more and more for PDF.