For the MJPEG material, it appears that you either do not have the MJPEG CODEC on your system, or the one that you have, is not one that PrPro can use. This ARTICLE will give you some tips. Also, some camera mfgrs. love to tweak existing CODEC's, like MJPEG. When they do, it is usually best to install that particular flavor of MJPEG CODEC, and one is usually on the supplied DVD. Now, it might be a stand-alone install, might be installed with the camera's driver, or perhaps installed with a viewer/editor program on that disc.
For the MP4, it sounds like you do not have an H.264 CODEC, or one that PrPro can use. One source of an H.264 is through the installation of a recent version of Apple's QT Player. Do you have QT Player installed? If so, what version is it? There are also other sources for H.264 CODEC's, and some users feel they are often better than Apple's. I would Google H.264 CODEC and investigate those. Many will be free, and some will be commercial.
As for a player doing a good job, it could be that the player has the necessary CODEC's built in. Two examples would be VLC Player, or MediaPlayer Classic HC, or it could be that you have a version of the necessary CODEC installed, and the player can access and use it, but PrPro cannot. See this ARTICLE for more background on CODEC's.
The strange thing is that Windows 7 64bit just installed with only Premiere Pro 5.5 (no additional codec installed) import and manage mjpeg or h264 clips without errors, so I think that Windows 7 has already all the codecs needed to manage that kind of formats.
In my PC MJPEG and h264 video are played correclty with classic players like mplayerc and not only with builtin codesc player like VLC or MediaPlayer Classic HC.
What other programs can do isn't always relevant. You will still need to install one that Premiere Pro can work with.
In a fresh install Premiere Pro work correctly with that format, so it don't need any external codec...I believe.