I can not tell what you exported, what you imported and from where to where ...or even what application is causing you an issue.!
He created a composition within AE, applied some filters on footage and then exported this composition as Pr Pro project.
Then he tried to open that project in Pr Pro and got this:
ectobuilder50, I'd recommend you to use Adobe Dynamic Link instead.
Create a composition within AE and apply any filters and/or presets you like, then just save AE project.
Create a brand new or open existing Pr Pro project, then use File -> Adobe Dynamic Link -> Import After Effect Composition... if you are on Windows or smth like this if you are on Mac:
However when I exported to into a Premiere Pro Project and then imported it as a project into CS5.5, it said ..
Thats not so clear to me!
Glad you could parse it and work it out for the O.P