Any compositing or video editing program will allow you to import a numbered image sequence as a single clip. In Vegas, use Import > Media and choose the first frame of the sequence. Check the box that says "Open Still Image Sequence."
Make sure the frame rate is correct for your source footage, so it matches your target platform. Vegas will prompt you with a Properties dialog. The default frame rate in Maya is 24 fps.
If you have problems with Vegas, you may need to convert or re-render your footage to a different file format, frame rate, or numbering scheme. You can use fcheck to renumber files. The safest numbering scheme is filename_####.ext. The safest format is .TGA, or maybe .TIF.
Once you have your sequence loaded into Vegas, you can render it out as a movie file, Quicktime, AVI, whatever.