Okay, here's how you do it.
1) Open Sony Vegas.
2) Import your green screen movie file into the time line.
3) At the bottom of the program click the tab that reads "Video FX".
4) Select "Chroma Keyer" from the left hand scroll menu that appears.
5) Click, hold, drag, and drop "Green Screen" onto the video portion of your clip in the time line.
6) The chroma keyer advanced menu appears and a preview of your video file appears at the right. The program should have automatically taken out the green screen, but if not, follow the next step.
7) SKIP IF THE PROGRAM TOOK THE GREEN SCREEN OUT. Click the eye dropper (looks like a pipet) from the advanced menu and then click again on your video clip preview right on the green (or whatever color you are trying to take out).
8) The solid color in your video preview will disappear, leaving your subject on a transparent background.
9) Create a new video track by going to Insert, Video Track. Import your background video clip into the time line and place it on the second video track.
10) That should be it! When you playback your video clip, your subject should be on your background instead of the green screen.
Hope this helped!