Don't use File, Import. You are correct, it will take you to a record screen, which is not what you want. At the bottom of the screen you have the Media Pool. Click on File Browser and go and get your video and drag it to track 1 on the Arranger. Alternatively, use Windows Explorer to get your video file and drag it onto Track 1 or another track.
Note that the file formats for video import into MMM are limited to AVI, MXV, WMV. MXV is a Magix format.