Hi
It's not too clear what you are actually doing from your post.
Sorry.
If the whole screen has gone grey then obviously something is wrong 
What you should be doing is ..Open VP and then click the "Add Media" tab at the top left.
Now navigate to your downloaded movie. This should be in a format that VP can use.
Click the video and then the "Open" button. This will place the movie (the video clip) into the Media list. From here you can drag it to the sequence line for editing.(Or click it and select the Add option)
If you do this it will be placed on the sequence line and appear in both preview windows.
You normally preview your project on the righthand pane and preview the individual clips in the lefthand pane.
Your editing is mostly done on the sequence line.
Again I am not sure why you are printing the screen. 
If you could outline what you have done step by step (or trying to do) it might be more helpful.
Nat