You're getting your terminology slightly wrong. iTunes "import" fuction describes reading the CD audio data from a normal CD and converting it into MP3, or whatever else it's set to use.
If you're just using a CD already full of MP3's, you'll need to add those files to the library. I imagine you can do this from the File menu. Look for something which talks about adding to your library...
I don't use iTunes myself, so I can't describe the procedure exactly.
Hope this helps
