Welcome to the forum.
As Ann points out, Nesting Sequences is not possible in PrE. Actually, PrE only allows one Timeline, where PrPro allows many, each in its own Sequence - something that PrE does not allow.
While Nesting Sequences is a very powerful tool, there might be workflows that will allow you to get exactly what you need, via other methods. Can you explain exactly what you have, and what you wish to do, as perhaps someone here will have tips that will allow you to get a similar result to Nesting Sequences?
I too miss nested projects from my days with PrPro on XP. I can't afford to replace PrPro for Win 7 just yet, thus PrE.
Is there a significant hit to simply have what used to be a Sequence as a separate PrE project that outputs to disk as avi; followed by bringing the avi's back into a consolidation PrE project?
There is a quality hit, but it is minimal. However, if one is doing several "round trips" with files, they might want to look over this article: http://forums.adobe.com/message/4556586#4556586
Because DV-AVI is lightly compressed (about 5%), many feel that it is more than adequate for using as an intermediate file. As I often am using several programs in a workflow, I will spend the time to use a Lossless CODEC, like Lagarith, or UT, so that I do not get 5% x 5% x 5%.
After using true Sequences, and also Nesting, I could not fully function, if I did not also have PrPro for larger Projects. I feel your pain.
While not as neat and easy, as Nesting Sequences, outputting an intermediate file, for Import into another Project can be very, very useful.
You might want to check out the article, that I linked in response to Beau2013, as a Lossless CODEC will keep the quality, as high, as is possible, but one needs to have those CODEC's installed, and if the files are shared with others, THEY would need to have the same CODEC's installed, but they are free, have always worked well on all of my machines, and are fairly quick to encode/decode.