I can't say much about the WMV format, its something i try to avoid, generally. In favor of DV AVI and MPEG2 Streams.
I don't use the import function in Vegas, usually i just drag and drop the files onto the timeline, which works quite well for me.
But its hard to say what is wrong in your case, Vegas should be able to open WMV files. Its even harder to assist you when you don't provide any information about your system, for example, which OS are you using? Which version of Sony Vegas ?
There are multiple versions of Sony Vegas, the Movie Studio and Platinum versions being aimed at the consumer marked have several limitations compared to the Pro version. While i don't think it is the case, it could be a limit of your version of Vegas. (The consumer versions are quite lackluster compared to the Pro.)
In any case, your version should support WMV, so you should first install the latest WMV codec, you should be able to grap it from windows update, by installing the latest version of WMP. Since WMP automatically download codecs, you shouldn't need to manually install them. If you don't want to install WMP or if you got other problems, heres a link to the codecs provided by Microsoft for IT professionals, in case manual installation is required. http://www.microsoft.com/windows/windows…