Create a new project in Color, setting up the resolution and such first. Then navigate to your video file within Color (in the Setup tab) and double click it. It will drop into the timeline.
Hope that helps.
Just to fill you in on what's happening behind the scenes:
Color isn't designed to import video by itself, it needs to work with Final Cut Pro. When you create a project in FCP and send it to Color, FCP exports an XML file that Color then opens and interprets. The XML file includes information about where the original footage is stored, how the FCP timeline is assembled, any color corrections that have been added in FCP, etc.
There are certain limitations with how you can work in Final Cut Pro if you plan on sending projects to Color. For example, Color doesn't like clips with speed changes, and if you make any changes to interlaced clips in the motion tab of FCP's viewer, Color will not render them out as interlaced clips. Color also has fairly specific requirements about what kind of hardware it runs best on, so it's not an application that you can just play around with on any system and expect great results. There are several other limitations and workarounds for the FCP > Color workflow that are too detailed to go into here, but as long as you know that there are specific workflow practices and where to read about them, you should be fine.
Color isn't designed to import video by itself, it needs to work with Final Cut Pro...
Not entirely true, just mostly true. As PrecisionTrans noted, it is possible to import clips directly without the use of Final Cut. It is inefficient and opens up a world of possibilities to screw it all up, but it is also the 100% sure fire way to find out if your media is compatible with the application.
You can also import baked movies using a CMX EDL as a cut list. Until FCP starts supporting DCI dpx sequences, the cutlist is the only way of getting in and out of COLOR. FCP is the way if realtime video playback is the issue. Conceivably you could use a Gather to build a Quicktime and play it out using something like AJA-TV if you seriously needed to avoid Final Cut or some reason.
Somebody on another forum referred to Final Cut as a "video plug-in" for COLOR. Now that I think about it.... hmmmm...
