Are they on a drive either internal or attached to the system, or still on the card in a card reader? Some of the time this is an issue, it's because people have just connected a card reader to their computer and are trying to import into Premiere from that. Which often doesn't work.
Sorry for this problem. We have fixed this in the latest beta builds which means you should be able to import these media files in Premiere Pro without converting them in any other formats. This is also on track to be available in normal builds. We will update you soon.