Have you tried clicking ok on the first window to see if another window opens allowing you to search for the file. Have not done this myself but know it is a familiar thing with Adobe programs and have seen similar things in PS.
Update. Just tried it myself. As soon as I click on Import/Video Frames To Layers, it open up finder allowing me to select the video I want to import. I select the video and click open and then my Import Video To Layers window opens just as you are showing, but mine shows the video I have chose to open unlike yours which is blank. Is it possible that that it is not a good format for PS. I imported a .mov format. Usually when it's AVI it doesn't work well with PS, it works with .mov .mp4 or .mpg pretty much any file that quicktime reads. Try converting it to one of the files I mentioned and it should work.
Last edited by firedept; Oct 13, 2012 at 06:12 PM.