The first real screen of the wizard allows you to choose the type of file to import (using the tabs) - and then the actual file. Once you have chosen the file, you can adjust any settings before hitting the Next Button.
Excel
Here is the Excel File tab. Note that once you have chosen the file, and whether you want to display the data in the Grid or the Pivot Grid, you can then choose what Worksheet you want to import and even get that down to a cell Range.
CSV
Here is the CSV File tab. Note that once you have chosen the file, and whether you want to display the data in the Grid or the Pivot Grid, you can then choose how you define the CSV import parameters. You can tell the program that the first row is a header row (ie do not import it), # of rows to skip, maximum to import, etc. As well as the normal parameters of what character to use as a column delimiter, text qualifier, and comment rows.
When you have chosen the file and setup your parameters, you can click the Next button at the bottom right.