If it plays in WMP but not in Vegas, it's likely using a codec that Vegas doesn't support, such as DivX, which uses .avi's as a "wrapper." Use this to find out which codec it uses.
Once you've done that, you'll need to use an intermediate program to convert it to use a codec that Vegas will recognize, like .wmv or QT. Post what GSpot gives you for video information, and I'll try to help.
Huh... that's a stumper. I use Vegas6, but I've never had a WMV that it wouldn't edit. May need to call Vegas tech support on that one. Did it come with a year of free tech support or anything like that?