Importing an unsupported file type into Premiere Pro CS5
I've had a bit of account trouble, so I now have a different account and I can't log in to modify this question. So.. I'm going to answer my own question with what I have learned:

The video files I had were not supported by Premiere Pro. However I was able to play them (in VLC) and transcode them (in FFMpeg).

The real question I was asking above was: What codec should I transcode to? And How do I do the transcode?

After quite a bit of research it seems that the best editing codec for PP on Windows is DNxHD. This codec is not provided with Windows or PP, and must be downloaded here. There are other editing codecs out there, but they are either expensive (CineForm) or only work on Apple (ProRes).

It is important to note that files for editing should not e stored as H.264, even though you might capture them in this format, and you will probably release the video in this format. This is because H.264 is very slow for editing files, and with really thrash your hard drive and CPU.

I found a nice tutorial that describes how to do the transcode using free tools.