Sorry to post a stupid question. I figured it out 2 seconds later.
It helps others if you post your answer, though, so that others with the same question can benefit.
BTW, if you're new to After Effects, I strongly recommend that you start here:
You are right. I just figured it was SO STUPID, no one else would make the same mistake.
The trick is to Import Multiple Files, and click the "JPEG Sequence" box. I had not done this because I figured I didn't want a sequence of JPEG files, I wanted a "movie" and I was trying to import my jpegs "as footage". None of that worked out. All you have to do is click the JPEG Sequence box and everything is fine.
I was fooled because it was too easy.