Playing with Photomerge in CS5 for the first time and I'm having difficulty.

I load 5 dngs taken with a Canon 5DM2 (so they are about 18MB) - go to automate in PS (also tried from Bridge and LR) - select Photomerge/Perspective and hit the go button.

The process is visible on the screen while it's making "untitled_panoram.psd" which is also visible. Once the process finishes, the created file disappears. Not saved automatically, it just disappears.

I'm wondering what the problem can be? A memory issue? I'm using a maxed out iMac.

I've tried using only 4 in the set of images without success, just in case it is a memory issue.

Any ideas people?