After you press Command+Shift+i, you're presented with a standard OS file system dialog. Simply navigate that dialog's browser as you would any other browser in the OS and press Return on the file. Press Command+w when you're done. You'll be asked whether you want to import to the Clips list or to a new track. 99% of the time, you'll want to import to a new track.
That's the short story. Here's the long story:
If you browse this way and your session is in the same format as the audio file, pressing Return on the file will simply point Pro Tools to that file but it won't copy it into your Audio Files folder. This may or may not be a problem. That depends on multiple factors. If the file is a different format, Pro Tools will automatically convert the file to the correct sample rate, etc. Otherwise, if you want to force Pro Tools to make a copy of the file instead of just pointing to the original, press Command+c instead of Return. You can select multiple files this way and, when you're done, press Command+w. Pro Tools will prompt you for a destination for the new imported files. By default, it's your Audio Files folder so all you have to do is press Return.
HTH,
Slau