Here's the basic formula for importing a file:

• Open a notebook and in the menu at the top of Mathematica, go to "Insert" > "File Path".

• Use the dialog to choose what file you want. A string with the full file path to the file you selected will appear in the notebook.

• Wrap the Import function around the file path and evaluate it.

Does this work for you? What kind of file is it? What is the file format?

There's too much information about Import to cover in a single post like this. The documentation covers the many different file formats Mathematica can import and how they work.