I have just downloaded the trial version of Connect HD (BTW, what is the difference between Connect HD and Aspect HD?)

Anyways, I am getting this error when trying to capture:

"No Valid Transport Stream Header"

It captures for about 2 seconds then quits on me. I know I have been having problems with Codecs in the past, so I don't know if that is what is happening.
Any ideas?

Aspect HD is Connect HD with the addition of an editing accelerator for Premiere Pro. Connect HD is a standalone capture and conversion utility.

Your error probably means you camera is not set to output HDV -- many cameras default to DV down-converted output. If that is not it, please file a trouble ticket at cineform.com/support.