This is a fairly straight forward exercise. In the game select the rides button on the left hand panel. Than scroll down to the bottom button which has tools on it, a wrench. Now select that button and than the program will scan your hard disk for older TR4 (RCT1) and TR6 (RCT2) files. Once the file has been scanned, if its compatible, just select it and paste it into your park.
Special Note: I have for some reason had much better luck importing RCT1 track files into the game rather than RCT2 track files.
Now if you get turned down, there are several reasons for this to happen. Generally if the coaster is too high in RCT2 it may have problems. Also tracks that suddenly turn into the super structure of another part of the coaster supports may have trouble importing, from what I have been told. The following comments are provided by Atari's RCT3 Product Manager.
Simply drop the TR6 or TR4 files in the My Documents\RCT3\Coasters folder; then when you run the game a new button will appear at the bottom of the rides button (it looks like a wrench and hammer). When you hover your pointer over new button, the tool tip reads "Import Track Designs From Previous RollerCoaster Tycoon(r) Games." When you click the button, a list of all the TD6 and TD4 files in the My Documents\RCT3\Coasters folder will be appear.
The issue with some rides not importing is that the clearances are different in RCT1 and RCT2 so not all old coasters work. The game may have issues if you import an old coaster and the tracks run into each other. Hopefully most of the coasters import ok.
Anyhow hopefully you will enjoy a lot of successes in riding your old coasters. If not, you can always relive the experience of building them again, isn't that half the fun???