You don't import it as a file but as the whole folder. The folder containing game.xml should look something like the attached image.
Open Stencyl, go to Debug > View Workspace Folder, and open the "games" folder inside the workspace. Drag the folder containing the files up there into your games folder in the new workspace.
If you happen to have a ".stencyl" file, all that is is a .zip of the files you see in the attached image, renamed from .zip to .stencyl. You can easily create a .stencyl yourself and then import it like you normally would.