There are a few ways you can do this, if you need to run your action on all the images in one folder.
Once you have finished creating your action and hit stop recording go to: File > Batch > Automate
This brings up the batch dialogue box. Select the Set and Action you want to play, then the source folder for your images.
Depending on how your colour management is set up, you should tick the two "suppress' options. Providing you have already setup a save in your action that you are happy with, leave the "destination" section clear. It is worth running a test on a couple of images before committing the whole folder.