In CS 3 and 4 I just could put an simple effect on, that did nothing - then Premier would render.
Now I am trying to play some skies at 3000 % and premiere CS5 cannot play it. What do I put on to make it force rendering the clip?

Sequence/Render

Yes if Premiere knows it have to be rendered - but it cannot always. Sometimes it just cannot play more than a few frames and then it stops. I can choose to render the hole timeline but I just need a single clip.

Just define your work area in the timeline to the desired part of the sequence and then select Render Work Area. This will force render the area you selected.