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.
