Importing an Image Sequence to Blender VSE

Has anyone had any success importing an image sequence into Blender VSE? The file names were initially in the format example.0001.jpg but I have also tried renaming them to example0001.jpg without any success. I have also tried .png formats (though I am trying to minimise file size for various reasons and there is no need for an alpha channel). Does blender VSE support importing images sequences?

I am using Blender 2.77 and Windows 7 Pro 64bit.

I

Has anyone had any success importing an image sequence into Blender VSE?
Yes

Does blender VSE support importing images sequences?
Yes. Add / Image, select the images

Describe the exact steps you are doing and supply a short demo sequence etc

Make sure that all of the frame names are perfectly sequential 0001, 0002, 0003 etc. and that the prefix is exactly the same e.g. example0001.jpg, example0002.jpg etc.

When in the File browser window to select the images I usually type in the prefix name followed by wildcard . e.g. example***.jp
This will make Blender choose all of the images as defined in the order displayed. So make sure that you have them sorted in alpha/numeric, not size or date etc.