If the DiVX codec is installed, Vegas can read and write the format (although it's not an officially supported format). It will, however, re-compress the frames, (they won't just pass through like DV can), so there will be quality loss in the case you mention.
///d@
If you have audio but no video, either:
1) DIVX codec not installed
2) DIVX codec not properly installed
3) DIVX codec installed not proper version
4) Video not properly encoded
I'm sure there's more examples, but these are the usual ones I've run into.
FYI: The audio plays because it's standard MP3 format (usually).