Issue with Opening Downloaded ASF Stream files in Adobe Premiere Pro CC
The link you gave is for a streaming media file, not a download.  Most likely, whatever ripper you used to pull down the file did a poor job and produced a faulty file.  It may actually play back since most playback applications are rather permissive when it comes to errors in the file, however a professional editing package like Premiere will tend to throw errors if there are major problems in the file since it won't be able to generate suitable output from the file.  The best bet is probably to try and find a non-streaming version, particularly since the quality of the streaming version is VERY low.