There's two questions here, so two answers:
1) You can import data using CRM Webservices, and they are pretty well documented throughout MSDN: http://msdn.microsoft.com/en-us/library/gg334357.aspx
2) If you have a current CRM 4.0 installation that you want to "upgrade" to CRM 2011, it is a supported upgrade. Your upgrade options are documented in a few places - try the CRM 2011 Deployment guide, or this Technet article: http://technet.microsoft.com/en-us/library/gg554717.aspx - I have used and prefer the "new instance of SQL server" method as it seems safest and easiest to roll-back. I highly recommend avoiding the in-place upgrade - do not try to import your live CRM 4 database, into CRM 2011 as it is a one-way operation and the database will stop working in CRM 4.0!