Hi
Version 2.41 does not support sequences as this feature was introduced with the VP 3.xx versions. "Import a clip" will not work either I am afraid. 
In the 2.41 version you have to create your movie in one go, saving your project at regular intervals as you work. You can save the project at each stage with a different name giving you several vpj files which you can go back to and re-edit if make a complete hash of the latest, or, like myself, you can save the work with the same name each time so you end up with one final file, (although I generally make a backup.)
If you have created three projects from the three sections and saved them, you can't load all three of them into VP 2.41 and join them up. If you have the three projects as projects (vpj files) , then provided you are happy with each of them, you will have to load each project back into VP individually and save it as a rendered avi file (or equivalent)
Now you will be able to load each these avi files back to VP as though it were a clip and assemble your complete film.
Nat