What version of Elements do you have? I'm currently running 4.0, and I had 3.0 prior to that, and they both open raw files. As a matter of fact, I specifically switched from Digital Image Pro to Photoshop Elements so I could work directly with raw images without having to convert them to TIF or some other format. Hopefully I'm not insulting your intelligence, but be sure you're trying to open the .crw file and not the .thm. Also, if you haven't tried it already, you may have to open Photoshop first and then load the raw file. If in the end you do have to convert using another program, just be sure to convert them to .TIF files so you're working with an uncompressed image and don't lose any data in the conversion.
Anyway, you'll definitely start seeing the difference between working with JPEG and uncompressed images when you start editing them. Your end results will turn out much nicer!