Okay.
So you have your clip library built already?
Until you have that, you want to do all of your work in VirtualDub. Heckuva lot better than Premiere for that sort of work.
There's a terminology issue between 'Saving' and 'Exporting'. Adobe keeps information for ongoing projects in a Project File, which isn't terribly large. When you update that Project File, that's called Saving.
When you take the movie that you've been building and send it out into a .mpeg or .avi file, that's called Exporting. There are two places you will be doing this; when building your clip library (No audio, preferably HuffYUV video compression), and your final product (manipulated audio if any+song, many possible video compressions, MPEG, DivX, or XviD most likely).
So, you get your VOBs to your hard drive. [ ]
You create one of those little AVIsynth files so you can open your VOBs in VirtualDub. [ ]
(There's the possibility to de-interlace at this point, but depending on what you're doing and the fact that you're using Premiere, I'm not quite qualified to suggest whether to do it or not.)
You open VirtualDub and start clipping scenes with No Audio and HuffYUV compression. [ ]
(Using the Video menu Compression option and Fast Recompress, the Audio menu 'No Audio' option, the Mark In & Mark Out buttons, then the 'Save as AVI' file menu option.)
From here, you'll have a bunch of Audioless AVIs cluttering up your HD somewhere. Now you can open up Premiere, go to the import menu, import your song, and drag it to the timeline. Now you start importing those clipped AVIs and building your movie.
(This is assuming you didn't want to do something more complex with the audio. If this is not the case, I'm sure there's a guide for it somewhere.

)
Hoo. Man, this seemed simpler when I was actually doing it.