hmm thats odd, i use cs3, tho i would have thought it would be the same process in cs4?
wicked montage!
Its because your images are already larger than the canvas size, so instead of showing the background colour it shows the bits of the source images that were cut off by the canvas edge.
Crop it back to the original image size then do it again.
crop the image, then go to IMAGE, IMAGE SIZE, enter what ever size you want and hit ok.