The brightness range of YUV source goes from 0 to 255, yet the black level is at 16 and the white level at 235. This allows for some under and over-shoot, but the legal broadcast values are between 16-235 (all that is displayed.) When a YUV image is converted to RGB (the regular computer type you are used to), Y level of 16 is black on your computer monitor (RGB 0,0,0) and Y level 235 is white (RGB 255,255,255). This is what happens when playing something in Windows Media Player -- that is normal and looks correct.
Sony Vegas choose to map YUV sources differently such that black is displayed at RGB level 16,16,16 rather than 0,0,0. While Studio RGB is a legitimate colorspace with some advantages even, it should not be displayed on a computer monitor to be used for visual color correction. If you do visually color correct within the Vegas preview area, the resulting files will be more contrasty when displayed elsewhere (DVD, BluRay etc). To properly color correct in Vegas you need to either use an external HDSDI/HDMI card to a YUV display (TV, pro video monitor) or add the color correction filter "Studio RGB to Computer RGB". You can add this filter to your preview window within Vegas, and all the resulting images will be displayed correctly (without losing any of the processing advantages for Studio RGB.)
NOTE: You must also remember to remove this filter when exporting.