First you have to start Modelio by double-clicking on the Modelio shortcut. Once Modelio is started, go to 'File / Create a project...' or click on the [] button. This will open a Project Creation ...

Modelio XMI Import/Export lets you exchange UML2 models (and not BPMN models) between tools that support the import/export of XMI files. The supported formats are XMI EMF-UML2 v3.0.0, OMG2.1.1, OMG2.2 ...