Hi Daniel,
This article
Create an Access database from data in another file format
http://office.microsoft.com/en-gb/assistance/HA010546481033.aspx
contains or links to information about importing data from common file
formats.
Note that it's not files that are imported but the data they contain.
This is an important distinction, because Access as well as the formats
mentioned in that article, Access can use ODBC (open database
connectivity) to connect to a very wide range of data sources without
having to know anything about the file formats involved.