Mark you actually solved the situation I think, and no I hadnt notice that the file in question was the only one without an extension.
It seems that when I select SAVE AS on photoshop I select the entire original name file (including the extension) and I write the new name (erasing the original extension) so the file doesnt have an extension and when I select import on Premiere then it doesnt let me select it because of that.
As I mentioend on my original post it was simpler than I imagine, thank you!!