There are a bout a dozen possible sources for aaf files. What is your system? What kind of files are you trying to import? Where did they come from? I'm not having any issues in my workflow. Have you seen this video? It shows the process in CS6.
Agree with Rick. AE's native AAF import has been changed/ removed in CS6 in favor of other methods like opening it in Premiere and using DynamicLink or indeed using Pro Import and there's a gigazillion possible combinations, so unless you provide a lot more info, it's unlikely someoen will be able to help you.
many thanks Mr. Rick, the video was very helpful, but still every time I import project I got missing footage!! ( sorry, but the footage required for this layer could not be located when we imported the comp.)?
Iam using Sony Vegas for exporting projects.