Hi John,
Besides installing Pro, you've also installed the tutorial data for the book, right? If not, it's on the book's resource page. Assuming you have the data installed...
When you click Import Map, that opens a file browser window like the image in the book (on p. 47, if we're on the same page). In the directory tree on the left, under My Computer, you can see your C: drive, right? Click on that to select it. Now all the folders on your C: drive should appear on the right. In that window on the right, scroll down and double-click the EsriPress folder to see its contents. Then double-click the GTKAGPro folder. Then double-click the World folder and you should see World_data.mxd. Click it to select it and then click OK. That will import the map.
The image in the book is showing you the final stage of the browsing process and not describing the intermediate stages. There are no stupid people. However, there is instructional design that doesn't anticipate user expectations.
Tim