Chances are that Premiere Pro doesn’t support the codec used to capture the footage. You should be using DV AVI Type 2.
If you render the timeline, then export to a DV AVI, you might be able to put that AVI on a new sequence and export that to MPEG2. But why you would use the generic is a mystery. Other than putting it on a DVD with MPEG2-DVD, I can’t think of a reason to use MPEG2.