When I capture with Premiere 6 (through firewire from a Digital-8 camcorder) the file is one avi file, which plays back normally with audio & video in Premiere and media player.
Can't see why it would split it up unless there's a capture setting which has been changed within Premiere.
Maybe the sound being captured is at a different frequency or something and needs to be conformed before it's played back, total guess though. 
__________________ P4 1GB Ram 50+160GB, Win XP, Premiere 6, Encore+Photoshop, Lite-on 4x dvd rw.
Sony TRV-250, Panasonic NVGS-75, Canon MV600i |