In the ME2 configuration utility there is a option 'save games' under which you'll find a button 'copy mass effect 1 save games'...this'll open aother window and let you browse for and select the folder containing your ME1 save games.

The save which is actually imported is a post end game save which I don't think is visible in the ME1 'load/save' menu. You can see it when you check the save folder in 'My Documents' though.

http://www.examiner.com/x-892-PC-Game-Examiner~y2010m1d27-Mass-Effect-2-How-to-import-your-ME1-save-games