Adobe Premiere Pro Question- After effect comps go missing.

[D0C H.]

I take a rendered file. Whether it be .WAV .AVI .MPEG or any format, when I import it into Premiere Pro (CS4) and play it in the source monitor, it looks fine. But when I put it into the sequence [B]some[/B] aspects of the shot go missing. I'll have a gunshot where the smoke shows up, but the actual flash disappears. But gunshots before and after come out fine. Other times a layer of blood will disappear. NOW [B]no[/B] vfx are in the shot. No matter how many times (Or what format) I import it in, it just disappears. Here's what I mean:

[B]Off of computer[/B]
[img]http://filesmelt.com/dl/please.jpg[/img]

[B]same file in PP[/B]
[img]http://filesmelt.com/dl/someonehelpmefixthis.jpg[/img]

Any idea how to fix this?