I have a ZR45. Works great. Options/Preferences/Video Device - in the drop down menu for "Device," Choose "OHCI Compliant IEEE 1394/DV. Make sure the "Recompress edited frames" is checked. If you are in video capture, under Options menu, click on Reconnect to current device. Make sure you download the latest version of Vegas. (VV 3.0c build 138).
I have a Canon ZR40. It too works great - but only if it turned on (in VCR mode) prior to clicking on "Capture". The Knowledge Base has a few entries regarding Canon's proprietary Firewire implementation. Particularly, these camera's are known to behave badly if daisy-chained to another Firewire device - such as a Firewire HD.
I have my ZR45 daisy-chained to a LaCie 60 gig 7200rpm HD. The camera works fine. Except when I set the firewire drive as the destination in Video capture. Then I get a ton of dropped frames. Is this what you are talking about?
Cannon,
JackHughs is right though. make sure you have the camera set to "PLAY(VCR)" otherwise you will get nothing.