Just a thought, but try not pressing the play arrow - just press the record button in the capture window. You could also check the scratch disk setup in Project prefs, to make sure where the clips are to be captured to.
It works just fine here, same set up, but with CS5.5.2 not older version.(5.5.1 or 5.5 did not work), other contributers spoke of a "LEGACY" driver?, I think Harm Millard he may know more than I do. We are PAL, the camera obviously works, make sure you have camera set at 1920 x 1080 i.And the same setting in PP, however PP should automatcally set that for you.
In fact when Exporting to Tape it is amazing and starts the camera with out having the record button executed., it (the HV40 is Anamorphic at 1440 x 1080 (the limitation for Pro tape) and will record at Progressive, the pixels are rectangle not 1.0 , but the output is i). Do not save clips to another DRIVE.It is best in the RAID set up. according to Canon Specs it records at HDV 1080/50i , 1080/25i (PAL) These settings must match the set up in Premiere Pro 5.5.2 exactly.I do not set IN or Out points, it might have been a good thing to stripe the tape in the first place as it will recognise the Indexing numbering better that way.
I must add the quality of the Export even to Blu-ray astounded me. Nearly as good as the Canon 5D Mark II 1920 x 1080p but, that was from a CF card.
Ps. Frankly the Premiere Pro CS5.5.2 surprised me when it recognises all that when it went to work. Because when you used Premiere Pro 1.5.1 everthing was manual, well nearly.