Premiere has the notion of Importers & Compilers. We have default ones that allow interaction with AVIs and QT movies; it's also possible to write custom ones (for example, Matrox, AJA, BlackMagic, BlueFish are 3rd party companies that provide their own for the formats they support).
DivX doesn't provide a custom plugin for Premiere, so it falls on Premiere's default AVI compiler plugin to do the work. This plugin will work with any codec that is exposed by your OS via the Video for Windows API, so if you install DivX, presumably it's adding their codecs to that list. That's why it's available. It'll also be limited by the usual Video for Windows limitations, ie you won't be able to handle / create media beyond a filesize of a gig.
Now, whether it works? You probably need to talk to other users (the point of this thread), or to DivX directly.
Input: DivX uses temporal compression which is not suitable for editing. Using DivX files as source clips will cause you a lot of grief. Convert them to “uncompressed AVI” or “DV AVI” before importing them into Premiere Pro.
Preferably, export your Premiere Pro project to an “uncompressed AVI” or “DV AVI” file and then use other software to encode to DivX.
Alternatively, see the Xvid page for a step-by-step guide. Roughly the work sequence is:
Install DivX codec (probably as a part of DivX Pro, or DivX Create bundle). Install VirtualDub. Install Lame MP3 codec (you may need it for the audio). Install Debugmode Frameserver.
When your editing is finished - export via File->Export->Movie, select Frameserver as output format. It will ask for a file name to use as a placeholder for frameserving.
Start VirtualDub, File->Open Video File. Point it to the file created in the previous step. Configure Video->Compression to be DivX (and set either Recompression or Full Processing Mode), configure Audio to whatever you need it, and File->Save As AVI (give the file/location where to store the DivX output).
You are done. Now go and check the README and online manuals for the mentioned software :-)
This is a common problem. Normally it occurred if DivX 6 was installed over a previous version. The only work around I know of is to uninstall DivX then manually remove every reference to DivX in the Windows registry. Finally re-install. This procedure worked for me and one other person (noted somewhere on an Adobe or DivX forum). Apparently the DivX uninstallers and installers don't properly update the registry. I have produced AVI files with DivX video encoding from Premiere 6.5 and Pro 1.5.