What version of Aspect HD are you running? That sound old as Aspect HD has been XDCAM HD compatible for a while. If it is the latest version of Aspetc HD, you may have an install issue (Vista can cause that.) Try a reinstall of Aspect HD and contact support (www.cineform.com/support.)

It sounds like the CineForm MXF reader is not registered, which is why you're getting the "format not supported" error.
As David said above, try installing Aspect HD again.

Downloaded and installed the latest build from cineform website, still nothing. I tried the Register Component link from Tools dir, it doesn't seem to work either. Nothing really happens. Maybe it's an issue with polish Vista Business? How Can I register the filters manually?

Here is one of MXF clips from the disc:
http://keyvid.pl/mxf/C0001.MXF

I got a response from Cineform support that I should install P2 viewer (which I did). They also said that MXF should play in Windows Media Player and they don't. Please help, I need to buy the software ASAP and start editing.

EDIT:
I just installed Aspect HD on other workstation with Win XP (Polish) and Premiere CS3, same problem here.

Premiere CS3 now supports XDCam HD and XDCam EX. While in Premiere, on the menu, go to 'help', then 'updates...'; it should automatically download the latest update.