From My Lists click on the title of the list you wish to import leads to
Click 'Subscribers' and from the drop down list choose 'Import'
Click on the + symbol and when the window opens choose the file containing the leads and email addresses you wish to upload to your list and click 'Open'
Your file should have 3 columns, Email, First Name and Last Name so it will look like this.
Here you can see the file name you uploaded and when your ready click 'Import'
You can then see the progress of your upload
When upload in complete you will see this screen and just click 'OK' to close