Either Project/Add Media. Or go to the Explorer pane and browse your HD for your VOB file. Then right click and select and Add to project media list. Or just drag to timeline.
Note that if your VOB file is one of several that make up a video (having been split by the VOB size limitation) then go to the ".ifo" file and import that. That will drag in all the associated VOB files and VMS should seamlessly join them for you.
PS: Are you using the basic version of VMS or the Platinum version? My comments are based on Platinum, I'm not sure about the basic version.
That's probably where I remember it from so credit is due elsewhere. Anyway for anyone else who has the same question in the future I've slightly altered this thread's title.