When you select this option, (see the Overview, for help on how to access this options), you will see a dialog appear as in figure 1 below.
N.B. Images will be imported into the current view. Therefore, make sure you have opened the view you wish to import into before you begin.
If you choose to proceed by pressing the 'OK' button, a file browser dialog will open, (see figure 2 below):
As it states in the dialog in figure 1, you need to navigate to the folder from which you wish to import images, and then select ANY image in that folder. Once you have selected an image file, and pressed open, the importation of all images in that folder will begin.