Keval,
there are articles about creating authentication providers, either in the blogs or wiki on this page, or all over the web. Use Google to get some push in the right direction.
If you only would like to import the users (and not an authentication provider), you should write a little module that reads the user data from the external database and creates them in DNN using the public API. The framework will push the data in the correct table then.
E.g.
DotNetNuke.Entities.Users.UserInfo user = new DotNetNuke.Entities.Users.UserInfo();
user.Username = "Michael";
user.FirstName = "Michael";
user.LastName = "Tobisch";
user.DisplayName = "Michael Tobisch";
user.Email = "michael.tobisch@some.where";
DotNetNuke.Entities.Users.UserController.CreateUser(ref user);
DotNetNuke.Entities.Users.UserController.GeneratePassword();
or something alike. Please refer to code that works, this is just to give you some idea.
The aspnet_* tables are used by the ASP.Net Membership provider, which is the default authentication provider in DNN.
The "Users" table holds different user information, such as first and last name, email address, username etc.
The "UserRoles" table hold information about the roles a user is member of (RoleId refers to the field in the "Roles" table, so basically this is used to resolve an m:n relationship between these two tables).
The "UserPortals" table holds information about the portals a user is registered in (PortalId refers to the field in the "Portals" table, again to resolve an m:n relationship).
Happy DNNing!
Michael