First guess, by the sounds of the read, is the drive you are using to import the cdg's is not compatible.
A list of compatible drives can be found:
http://www.mtu.com/support/cdr-ide-drives.htm
Plextor drives are pretty much the industry standard when it comes to cdg compatible drives and the safest route to go. There are a few Plextor's that don't support the format, but about 95% of them do.
For the surest bet, get one of MTU's certified drives.