First, make sure you have the tracks layed out correctly. The way Movie Edit Pro works with tracks im vital for how things are setup. The lower number track is always going to be the furthest back or the background to any higher number track.

Track 1 is going to be the background video, Track 2 would be where you put the blue screen video. The videos must overlap, meaning Track 1 needs to be directly above track two in order for you to overlay the chroma-key effect.

Now, if you have done that, you select the video in track 2, it will be high lighted, then you go to 'Effects', 'Video Effects', 'Chroma-Key' and press for the blue. You should see the effect in the Preview Monitor, but I recommend doing some playback to determine if you need to alter the ratio or threshold of the chroma-key effect.