I have some music files that I would like to transfer onto an mp3 player ], but I'm not sure on what importing them means. Not really sure I understand this.

It really all depends how much DRM is attached to the music files. Importing basically means transferring from one place to another.
What kind of mp3 player is it?

Is the MP3 player using the term importing? Generally the term is transferring or copying or even downloading to the player. But the MP3 player could be calling it importing to add the files to the MP3 player's library.

However, if you follow the instructions given by the MP3 player you should be OK.

Most mp3 players you just copy and paste them on the external memory when you plug the device. Some, like the I-pods needs 3rd party utilities to import the songs because copying and pasting doesn't work. What player is it?