I have a drupal site and I exported a Drupal feature and got a download file. Now I want to import that file to another drupal site, but there is no import function, so how do I add it?
You just need to copy this folder generated by Features into your /sites/all/modules/features directory. A feature is a module, you'll need to enable this feature on your new site to retrieve all the functionnalities.
You'll probably need to take a close look at the documentation for Drupal 7 https://www.drupal.org/docs/7/modules/features to achieve this correctly.