There are 2 ways to import data into GMS that was generated outside of GMS.
File | Open - supports several file formats including DXF, JPEG, Shapefiles, Surfer etc. If you open a *.txt file then the Text Import Wizard comes up. It supports text files in column format for many GMS data types.
Import from Database - similar to the Text Import Wizard, but the data comes from a database.
Related Links:
Importing Non-native GMS Files
Text Import Wizard
Import from Database