yea if you have exported a file from WMM it will definitely open in Vegas as a solid chunk, and theres no way to split the clips unless you want to go through it frame by frame and split them yourself.
Also, there is no "create clips" option in Sony Vegas like there is in WMM...
However you CAN open files in the
trimmer or split them on the time line by pressing the "S" key on your keyboard (and the file will split where ever
the line is)
Truthfully there is no real compatibility between WMM and Vegas.
IMHO your best bet is to start your video over and use the file you exported from WMM as a guideline.