Yeah, but what codec do you use? When you enter Ctrl-p, the "Select video compression" window appears. You have to make a choice. Which one do you choose?
I use Virtualdub all the time and prefer using lossless codecs such as MagicYUV, UT Video or Lagarith. You can also use codecs such as Cineform or Canopus that will work well in Vegas. Black previews have always been somewhat of a problem in Vegas when using avi files. I still get them on occasion. If you do, the best procedure is to simply save your project file, close it, and then re-open. Your "black events" should now display properly. One final suggestion. Before you render, ALWAYS save your project, close the project file, shut down Vegas and then re-open Vegas and your project file, especially if you are using avi files.