After Premiere starts, create a new project. From the File Menu select New then Project. You want the pixel dimensions and frames per second in the project settings to match the settings you used to output your screenshots. For example: if you recorded your screen shots at 640 x 480 resolution at 30 frames per second those should be the settings you use in creating the project in Premiere. You should also select the AVI format with an appropriate codec like DIVX. The audio settings should be 44.1 Khz 16 bit stereo for best quality.

From the Load Project Settings screen select the custom button.

The setting for general should be:

Click on next to go to the video settings. They should be:

If you click on the configure button next to the Compressor line it will open a dialog box for you to configure the selected compressor. You can ignore that for now as we will configure the compressor later on after we finish editing.

Click on next to go to the audio settings.

Leave the rest of the setting to their defaults.

You should now at this point save these setting by clicking on the save button. Give the settings and appropriate name like Game Demos and add a description if you like. This will make it easier for you to start future projects based on these settings. Click on OK to accept the settings and start working with Premiere.