WordPress came with several new or changed features - one feature which changed is the functionality to import content from other systems.
WordPress offers under "Tools" to import data of other applications or a XML-file of another WordPress installation. But since WordPress 3.0 you need a Plugin because it is no longer in WordPress core. The installation of the Plugin is easy and has the usual steps to activate a Plugin.
This is the first time, that WordPress is going into the direction of using Core-Plugins. There are many formats available if you check out the profile of WordPress, and maybe someone can create additional importers for other formats.