The first time you open Moneydance, you'll be brought to the Welcome screen where you can migrate your data from Quicken Essentials.
To begin the process, click on the "Migrate From Quicken Essentials" button. If you've moved past the Welcome screen in Moneydance but still need to import your Quicken Essentials data, you can go to Window -> Welcome to Moneydance to bring the Welcome screen back up and import your data from Quicken Essentials.
Then, in the file browser window which appears after clicking the Migrate from Quicken Essentials button, navigate to your Quicken Essentials Data file, which should be named:
Select your file, then click Open.
Your data will be imported into Moneydance and your new file will open. Congratulations, you've imported your data!