.svg is scalable vector graphics file format.
Vegas usually asks to associate .veg files to Vegas the first time you run Vegas.
Rendering is the act of saving the video to a new file. Any file transformation or transcoding is a rendering process. When you save in Vegas you are saving the settings for the project.
As for your first problem, do the videos play with a windows video player such as VLC, DivX player or Windows Media Player. There are countless other players too.