It’s been a long time but I think the problem was that I was using the trial version. However, in PP CS4 and CS5 I have been able to import the mxf files just fine but you cannot export your finished work to mxf because it is a propriatary format that belongs to SONY.
I do most of my editing now using SONY Vegas Pro in which you can import, edit, and export in the mxf format with no problems at all. I recommend it highly.