What type of file was it, and which render template did you use in Vegas?
And are you going to File > Open and trying to choose a video file? That's a no-no. File > Open is for opening DVD Architect project (DAR) files. You don't "open" video files in DVDA, you just add them to your project.
Ways to add a video to a project include:
1. Browse for it in DVDA's Explorer or in Windows Explorer and drag it onto the workspace.
2. Browse as above and drag it into the Project Overview window.
3. File > New > Single Movie
4. Insert > Media
5. Oh, I dunno, probably about half a dozen other ways.
(Everything after my first sentence is probably moot since only DAR files will show up in the Open dialog, but it doesn't hurt to mention it. ;)