Since your footage is on a miniDVD, you can simply copy the footage to your hard drive (e.g. with windows explorer) and from there drag it onto the timeline of Vegas.
I always use the free lossless Lagarith codec to go from PI to Vegas. Works perfect. Don’t forget to include the alpha channel in the Lagarith settings.
The button that allows you to see the safe area in your preview window also allows you to see channesls as grey scale. probably you have hit this button.
‘If you’re using Vegas Pro, bump the files together edge to edge on the timeline and save this to a VEG file. Then crate a new project and drag that VEG onto the timeline.’
Thats exactly what I meant when I talked about nested files….