It wouldn't make any difference if they were imported or not. when you double click on the file in explorer, MC will open up and place that single file in Playing Now and 'play' it. As there are no more files in the playing now list, the pge up/pge down buttons don't actually have any files to move to.
You would need to select all the files you wanted to see, then (if you have the shell extensions enabled) right click, media center, play in media center, or, if you have double click behaviour set to "play all", you could browse to the photos using MC's internal My Computer, get to the folder you want and double click on the first file.
I understand where Johnnyboy is coming from, it's just that I very rarely come up against this problem because MC sits permanently between me and my media files so I find what I want from inside MC, not explorer. I do not have MC associated with my image files to cover me for those odd occasions where I do want this functionality. Then the double click on a file from explorer gives the preview, plus the ability to view the rest of the images in that folder by using the mouse wheel or the keyboard.
-marko.