There are several different ways to get clips into DVDSP. You can click on the Import button, or (the way I like to do it) right click in the Assets tab and select Import from the menu.

Find your files in the import window and select Import.

If you used compressor to encode your clips the status light should be green. If you brought them in as uncompressed DV files, the lights will be yellow. This indicated that the video will need to be "muxed" and therefore will take a longer time to burn.