From where are you importing from? From the Camera directly or a Memory card?
What do you have selected in the Import dialog window, Copy as DNG, Copy, Move or Add. Those are options at the top of the dialog window.
If the images are on the camera or memory card you have select one of the first 3 you have to select a Destination location, Where the files will be copied or moved to, before any images show up for import.
If they are already on your drive, you previously copied them from the camera or card, then select Add.