At the moment Microsoft Project Importer is in a Beta testing phase, and as such it is not included in the default activeCollab setup. You can download it here.
After downloading it, you will need to extract the files and copy the folders within it to the respective part of the activeCollab root folder. If you are prompted to overwrite any files, please do so.
When this is done visit your activeCollab, where you will find the module in the Available Modules list on the Admin > Modules page. Just click the install button on the right; follow the on-screen instructions; and the activeCollab Microsoft Project Importer Module will be available for you in no time.