arghh, unable to edit...

I know its annoying, but I'm really stuck trying to edit with PPRO 1.5 -
my main issues are;
When importing video footage I've got a lot of 40 minute episodes that are a
mixture of avi, mpg, xvid/divx or possibly wmv. I know Adobe best functions with
avi (DV) which I have tried converting my footage to, but it still cuts off
saying 'not responding'.
Also, majority of the audio files don't add into the timeline with the clip,
should I make them a mp3 format or wav? Whats the deal with that?
Another problem is how slow it functions, I figured it was that multiple
different video formats having to make Adobe work harder to use each video file,
well, the ones that actually import.
Some of the time I get the 'unsupported file' error issue which I have tried to
convert to an avi but still consists with the same error notice.

Final question, not really eligible but I also use Sony Vegas to alternate with
editing software- It would seem vegas has a wider format allowance which works
with avi, mpg, wmv- however, what format could I convert all my footage to that
both Pro & Vegas would fully function with? I know its a lot to ask just I
can't move forward with editing till I know exactly how to fix the issues
stopping the programs on their tracks. It would be much, much easier having
files that are versatile and that fully work in every software, which surely
must be possible to some extent. Any advice, links tips would be very
appreciated.

You MUST convert anything other than DV AVI type 2 to that codec to be able to
edit with Premiere... You should also use WAV and not MP3

Trying to edit "mpg, xvid/divx or possibly wmv" simply does not work

In short... do not try to edit ANY type of compressed file