What Captivate version are you using? How exactly are you trying to insert the video? I know you said "I did follow the instructions on Adobe help site but when I'm trying the import menu." I'm a bit confused because you don't add video via the Import menu. At least, you don't do it this way if you have a generic video you want to include. If that's what you need, try clicking the Video menu and choosing Insert Video.
I'm wondering if you are trying the "CPVC" slide thing. And that's for importing a "CaPtivate Videeo Capture" that you used Captivate to create.
Where is the video menu in Edge Animate? can't find it