Video files compatibility for Adobe Premiere pro CS4
Premiere handles a lot of video formats without requiring an intermediate (editing) file, so this is an uncommon problem to have.

As with other editing codec questions, I think a good place to start is by reading about the different kinds of codecs: The ProRes of Premiere Pro?

It would help us understand your problem better if you could tell us what you can see about the file format when you right-click to get "Properties", or ctrl-click to "Get Info" on the file.  There's a chance that we just need to get the right codec installed for you.

Since it's free to try, maybe download the GoPro Cineform Studio to try reading and transcoding the files.  If that works, then you'll be able to make a decision on whether to keep that workflow, or use a different conversion program.