The Select File to Import window of the Import Audit Settings wizard allows you to specify which audit settings you would like import by selecting the corresponding XML file.
Previously exported audit settings are saved to XML files in the designated folder. By default, the audit settings file names are InstanceName_AuditSettings.xml
(for a registered instance and all databases hosted on that instance) and InstanceName_DatabaseName_AuditSettings.xml
(for a specific database on a registered instance). These files are stored in the My Documents folder of the user who exported the settings.