I get the same thing when I try and import video from my Canon Cam. In my case, Canon encodes
its videos in AVI format (not sure what type of AVI), but Premiere doesn't accept it....saying
it does not support it.

What I've done to remedy this is import file into Windows Media encoder (which accepts
file) and convert to WMV format. From there I can import into Premiere and edit. The quality
suffers a tad, but it works.