Well, to begin with, you don't preview stuff in AE with the space bar. Sorry, but you seriously need to watch some tutorials and read the help. the rest we can't know. You have not provided any system or version info nor exact details about your project like what footag is used, sequnce settings and whatnot.
The best way to bring a clip from a Premiere Pro timeline into AE for effects processing depends on the shot. For simple things you can right click your clip or clips in Premiere Pro and select "Replace with After Effects Composition." AE will open and create a comp from the clips. If your effects work is fairly straight forward you complete your effects work in After Effects and then return to Premiere Pro and continue editing. If the effects involve more complex work like Warp Stabilizing or extensive keying and compositing, you will probably want to add some handles to the shot and then render your AE work to a Production Format DI (digital intermediate) and replace the shot in the Premiere Pro sequence. Leaving a Warp Stabilized or extensive and render intensive effects shot a live dynamic linked AE project will still work but on most systems you will save time in the long run if you render and replace. I use both methods almost daily.
As Mylenium said, before you get to far into your project you need to give yourself some serious After Effects training. I've been using and teaching After Effects for 20 years and I've never met anyone that could successfully just open AE for the first time and successfully and efficiently do anything more than add a text layer to a shot, then most of them have fouled up the render of that simple shot. Please at least start here: Basic Workflow