And wrote:
Jujube file - open folder... - open go files
I sorted it out. Actually it's more complicated than that. What I wanted to do is import my own collection of problems so that they appear under the "Problems" tab, not the "Games" tab. This is because the software automatically puts a tick against problems that I got right, and automatically plays responses to my moves.
I found an old thread by Richard Hunter that said actually it is possible to do this but you need to import the problems as a SGF collection instead of multiple files. So, I used Drago to create an SGF collection, then I renamed the merged sgf file to merge.prb and then opened this file in the "Problems" tab of SmartGo.