Importing MPEG Files

I am new to working with Davinci Resolve and cannot figure out how to import a MPEG file. Is it possible to import this file type into DaVinci? The website says that "virtually all file types" are supported, so maybe I need to play with my settings. If I have to transcode the file, what codec do you suggest?

What kind of MPEG? I think there are many dozens of MPEG file formats out there. Audio, video, stills, sequences, what?

Marc's question is a good one. But if you are talking about legacy MPEG-1 or MPEG-2 files, I'd suggest using MPEG Streamclip to transcode to ProRes 422 (if your system supports ProRes).