Importing image sequence: option greyed out

I'm trying to import a sequence of numbered images as a video clip into Premiere Pro CS6, but it won't take the files:

I've got 9480 JPEG image files named like BlahXXXX.jpg where XXXX goes from 0000 to 9479.

Now when I go to File > Import... and select all those files, the checkbox in the bottom of the file choosing window (image sequence) gets greyed out. If I just select a single image, I can check it, but when clicking "Import" then, Premiere will only import that single still frame.

What am I doing wrong?