I downloaded some veg files to see what they were like. Most would open up Vegas ok & display themselves on the timeline. A couple of them however wouldn't & gave an error message about DirectX.

Could it be that you must have the latest version of DirectX for some veg files to work. I have never installed the latest version becuase I understand that if it has bugs in it you can't uninstall it. Also I was under the impression that DirectX was mainly concerned with games which are never played on this machine.