I think that import feature might have been left out of SharePoint 2007. Here is a workaround that might help though.
Create a Contacts list within SharePoint
Click "Actions" -> then "Connect to Outlook"
Accept any prompts that popup about connecting to Outlook
Within Outlook open up your other Contacts folder (personal contacts, company contacts...) and drag a contact from one of those folders into the Contacts folder that SharePoint created within Outlook. This should create a new contact within SharePoint, to test this go back to the SharePoint Contact list and refresh it. Hopefully the contact shows up. If it does, continue to drag and drop concats within Outlook until all the desired contacts are populated into SharePoint.
Hope this helps because like I mentioned I don't think this functionality is part of SharePoint 2007.
OfficeCoder