It appears that you are not getting the contiguous files from the card.
Are you Importing the full folder structure, or just the files from the card?
See other answer,
let it finish conforming.
According to what my client tells me, the situations doesn't change after it has conformed.
I think this is an issue with the camera more so than Premiere Pro. The EX1/EX3 cameras use solid-state media, and it could be the type of media used, or this particular clip may have been recording when the camera jumped from the first card to the second card. There is also a limit on the file size for each clip, so continuous shooting will create multiple files that need to be "stitched" together.
The first thing to determine is the media chosen. The best choice is the SxS cards, but they're VERY expensive. The reason they're expensive is they're incredibly fast. I believe it's in the ballpark of 800 mbps. This is the most stable and compatible media, but a 32G card is going to run about $800. So, what many videographers on a budget will do is, the buy an adapter that fits SDHC or XDHC cards. This is where it can get tricky. These cards can't transfer data nearly as fast as the SxS cards. This is fine for 90-percent video shooting, but there are situations where the SD card adapters have been known to fail. So, if you're using an SD card adapter, it's possible that you're dealing with a corrupt file that can't be recovered.
The second issue is the duration of the clips. Sony XD cams will only store data up to 4GB in one clip. If you're shooting continuous footage, it will split the file every time it reaches 4GB. Fragmenting the data like this ensures that, if you have a corrupt file, it's not going to ruin your entire project. Smaller, more manageable files should result. Be sure that you're not expecting all the footage to reside in one clip, because the camera won't do that. You have to put the files back together with the Sony Clip Browser EX Software, or stitch it back togther in PP. Lastly, if the camera is trying to break up the files into more manageable chunks, AND you're using the SD card adapters, you might be asking too much of the memory cards and a corrupt file can result.
So, I think you should view the clips within the camera, or at least through Sony's EX Clip Browser software first, just to be sure that you have the raw data. If you see the same problem in the camera/browser software, then there's nothing that PP can do for you.
Just for grins, check to see if there's another clip that represents the next 4GB sequence. It may just be that you've reached the end of that 4GB clip, and you may simply need to import the next clip in sequence.
After looking at your screen shot, I'm pretty sure that those files need to be imported from the camera using Sony's Clip Browser EX software. For instances where the files exceed 4GB, the browser stores them together so they can be handled as one clip. I'm guessing that you copied the raw files from the camera to a local drive, and then directly into PP. I'm not certain, but I don't think it will view these files as one continuous file if you imported them directly.
Thanks Steve! Looks like you've pinpointed the cause of the problem, and the solution! Much appreciated.