Initially you will be required to select the file you want to import the data from.
The CSV file is expected to have data under these heads for every location :
Name - It is the only mandatory field
Latitude - A numeric value to denote the latitude for location
Longitude - A numeric value to denote the longitude for location
Visible on locations page - It can be either "Yes" or "No" ; a blank value means "No"
Parent Location - A numeric value representing the id of parent location , you need to refer the existing locations to get their id shown on the locations index ; a blank value for "Parent Location" means the location will be imported at the top most level
A CSV file with sample data for a few states of USA has been attached with this article.
Check "Has Headers" if your file has column headers in the first row.
Next screenshot shows the values available in drop down.
Once the mapping is done and you hit the "Next" button, the import process would start.