Premier pro does things different here, from memory-
What you do now is right click in the project window, new - sequence.
This will be sequence two, you will see it as a tab behind your current sequence and in the project window.
Click on the new sequence tab in the timeline or project window so it gains focus, now drag sequence one from the project window onto the timeline (sequence two). Your sequence now looks like one clip and you can apply effects to the whole thing.
You can nest your sequences again and again in this manner.




Tonga