What is the name of the file? Does it have .avi, .fla etc?
If you created the movie in another program the supported file may not be listed in the Flash 8 program. What you need to do is save the movie in an acceptable format.
When you choose the import option > choose browse > then pull the window arrow down and it will give you a list of acceptable extensions for the video.
If your flash program is going to be hosted online, you could also instruct frame # to pull the video from the server on your domain using action script.
Hope this helps!