Dazzle and sony vegas 9.0 help?

Ok so i got my dazzle and hooked it up and recorded a test video and tried importing it into sony vegas 9 but every time i try it just says the file cannot be opened. I can play it on any other regular program like real player or windows live thing but it wont import into sony vegas properly. I have a video converter but im not sure which file type to convert it to please helpppppp.