The easiest way to import a palette is to simply drop the file in the the file system GIMP created when it was installed. On Windows XP, the file would be: C:\Documents and Settings\<fill in user name>\.gimp-2.6\palettes. On Mac OS X, it would be: Users/homefolder/library/applicationsupport/ GIMP/palettes. I am not familiar with the location on other operating systems but if you look around a bit it should be obvious. Note that the file must have the file the extension .gpl to work. Also, you must restart GIMP for the palette to show up.
An alternate way to add palettes is to use the user interface. Since this does not depend on the file structure, it should be valid for all operating systems. From the image window, go to Windows>Dockable Dialogs>Palettes and click to open the Palettes dialog. On the Palettes dialog, click on the little arrow on the top right. This brings up a menu where you go Palettes Menu>Import Palette. From here, you simply select "palette file" as the source and browse to the desired .gpl file.
FYI, I used GIMP 2.6.11 for this tutorial.
|Import New Palette dialog|