Sounds to me like your camera's video file format is not compatible with Sony Vegas. Check out the file name extension (format) of the camera video. You may need to convert the file to a format used by Sony Vegas. The same thing happens to me when importing media from my camera. I have to convert the file first if I wish to use it in Windows Movie Maker. Though I am able to import camera video into other programs I use, Windows Movie Maker is a totally different story. Since I don't use Sony Vegas, I can't vouch for this 100%, but I suggest you check this out first.