It should work from anywhere in the browser with .song AND .songtemplate files. But of course it's easier to have a dedicted template folder. Note: Studio One creates a template folder per default.
First of all, make sure you have selected your .song or .songtemplate file before you right click on the browser menu. Now the menu should show the "Import Song Data..." item.
See my pics.
Tip: You can create song templates with the "Save As Template..." command from the file menu. Templates store only the most necessary data, they are therefore a lightweight song version.