You need to install the addon first.
For 2.79 Go to File > User Preferences > Add-ons and click the button in my screenshot and point the dialog box to the .zip file
For 2.8 Go to Edit > Preferences > Add-ons and click the same button and point the dialog box to the .zip file
EDIT: Then make sure the addon is enabled like so:
Then you can go to File > Import and you should be able to import your desired file type.