How do I import an MKV file into Premiere Pro CS6?
Welcome to the forum.
You can't do that. You'll have to convert it into a different format first. If you search the forum you'll find several discussions about MKV files and Premiere Pro.
MKV is NOT supported http://forums.adobe.com/thread/384783
-and more http://forums.adobe.com/thread/896103
-and a possible solution http://forums.adobe.com/thread/1175096