First get to your swatches tab.
You can do that by going to Window -> Swatches.
You should notice your palette tab now on your screen.
Use alt + left click on the color to do so.
You can also load or save an exchange palette in the ASE file format, this is used for exchange.
Use replace to not load piles of palettes into that tab btw.
Keep in mind that most other software uses GPL as a palette format - Krita, GIMP, artrage, etc.