Depends which kind. I can play MXF OP1a AVC-I 100 with no problem.
On the other hand, I dont think its supports the Avid MXF files.
FYI I use CS6 .
Canon mxf is not supported in CS5.
Below the files supported in CS5.
MXF (Media eXchange Format; P2 Movie: Panasonic Op-Atom variant of MXF, with video in DV, DVCPRO, DVCPRO 50, DVCPRO HD, AVC-Intra; XDCAM HD Movie, Sony XDCAM HD 50 (4:2:2), Avid MXF Movie)
Dont think that there was a real issues with these files.