When you capture the files should be in a folder somewhere, you can then drag and drop the files onto the time line. they should then work.
Capture again and select a folder path you can remember, then when you have finished, locate the folder and then then drag a clips to the time line and see if that works. If there are still no folders make sure you can see the preview during capture and the time code is moving.

try a search with "problems in Vegas" this brings quite a few up including playback issues.