Photoshop :: Cannot Import AI File

I think the title speaks for itself. Someone has sent me an Illustrator file CS6. I open it in AI CS6 and can see all the layers. I don't use AI much (newbie) and want to sub an image and add another layer in PS (CS6).

I export the file, with all layers intact, as a PSD. I have the "write layers" and "preserve text editability" and "maximum editability" checked.  I then drag into PS and the image is there as a single layer only.  I've reviewed a video tutorial and appear to be doing exactly what is shown (except his opens up showing layers).