EffectsLAb is designed for importing a video file, and creating effects that get added to the video. Compositing together multiple pieces of video, or video and images, isn't something that it is designed to do. For that, you're much better off with a compositing program, such as CompositeLab or VisionLab.
There are work-arounds
for some instances, such as DVstudio mentioned, but the root of the problem is that you are trying to do something the program isn't meant to do.