Gif icon help!

So i'm trying to make gif icons with CS5 using this tutorial but i seem to be having issues getting the caps into my photoshop, when i click file>import>import>video frames to layers the caps (which are saved as JPEG files) they dont show up at all so i tried using "*.*" and they do show up but just as each image and i have to put each image into photoshop separately.

Anyone know how to work around this or what to do? I use CS5 and The KM player. (& explaining it too me like i am a toddler will probably help me more!)