Doesnt neccesarily have to be a vector format, but if it isn't you'll nee to trace over the top of the imported image to turn it in to a vector image (you'll need ot explode the iamge, as well.) To import an image (or any other file for that matter) just go file->import, form there youll get a dialog window open up, theres a list of available formats in the dropdown menu.

Now I'm pretty sure that this is the same issue as with Chuck's panorama in this topic. I'll let the SU Team know about this as well.