Hi Craig,
If you are simply trying to import a flat file like a JPG or TGA, then you can open up the Material Manager (CTRL+M), rightclick and choose New->Image and browse for the file. You can also, drag/drop the image from Windows Explorer right into the viewport and it will create the material for you and apply it to a Quad Object.
If you want to import a 3D model then it should be a 3DS or OBJ file, and you click "3D Model" in the Object Library to import it.
#XPression