Recently i have looked into this a lot and have come to the conclusion that it does not work.
As has been stated you have to have MSP 2003 on your machine and save as an .msp, it has also been mentioned that data gets corrupted when importing.
I can vaguely remember .mpx files being able to be imported but this function has been removed, it would'nt suprise me if it was removed for a few reasons.
It typically does not run well and the bad press gets associated with Oracle/P6, people say "P6 can not import from MSP", P6 gets the blame not MSP !
XL only imports if you first export a template, it will then only imports XL cells as TEXT and not NUMBER etc
From a Oracle/P6 perspective why should they spend money delevoping an interface to a 3rd party over which they have no control over source code/how the software is locally configured/used, i.e. calenders, resource definition etc, perhaps that is why Orcale/P6 offer a SDK, API tool that lets the users develop/test the interface at their own risk.
Finaly from a commercial perspective perhaps the function has been removed in an attempt to force people to only use P6 thereby increasing sales, the cost of P6 has been reduced significantly recently, perhaps this a marketing exercise to get people using the greater suite of Oracle products, i.e. Oracle Aplications, HR, Finance, Oracle projects etc.
Put your self in Oracles position, why develop an interface that may give your product bad press/reputation and hinder sales, it just does not stack up.