Use a firewire cable.
It's close to impossible to get video into Pinnacle with a USB. The main function of the USB plug-in, is so you can use your camera for a webcam, or taking pictures straight onto the PC.
You need to check the settings too, so that it is looking in the right place for your camera. There should be a big 'settings' button. Take a rummage in that.
I take it that you've already turned the camera on, to the play function. I recommend that you pause it though, at the point that you want to start capturing. When you click the 'Capture' button, Pinnacle will ask you to give the video it's about to record a name, and then it will automatically play it for you anyway.
Hope this helps.