If you bought them separately, there is no dynamic link. Otherwise:
-Drop a clip into your PP timeline.
-Right click it and Select "Replace with AE composition" or something like that.
-It will launch AE and create a project. Any changes made in AE will automatically be reflected in PP.
The pain is when you save the project and then open it. You need to open up AE first and then Premier. It doesn't do it on its own and you will see the media offline. Don't know if the recent patches fixed this. Its a little buggy when you are first getting used to it.
I'm not sure what you guys are talking about. I have several wedding videos where I replaced clips with AE compositions and I don't have to load any media or open AE prior to opening Premiere. Are you running the latest version? (5.0.3)
Dynamic Link is supposed to work a lot better in CS5. It was actually kind of buggy and rather counter-intuitive in CS4.
@Gladiator: Think of it like this. You can import compositions from AE into Premiere, and handle them like regular clips, but without rendering them. It makes the project quite a bit slower, but for some things in makes a lot of sense. The other way around, you can import a sequence form Premiere and handle it as a single clip in AE (a lot like nesting sequences inside of Premiere). What you can't do is change any of the AE parameters in Permiere and vise versa. But then again, I don't see why you would want to.