In what program? You didn't specify, but I am assuming Flash?
Check the images you're trying to import. Are they .jpeg files as opposed to .jpg? I don't know about all versions of Flash, but I know you are unable to import .jpeg files into some version. If they are .jpeg files, try changing them to .jpg and then importing them.
For future reference, as you are asking how to do something within Flash (assuming you are here), which isn't related to animation, your question should have been asked in the Flash forum instead. If this is a Flash-related question and the answer I provided doesn't help, I would take your question there.