It depends which version of ADS you are using. For ADS 2011.01 or later go to the ADS Main Window and under Tools > Manage ADS AEL Addons... select the check box for "PCB Library Import Tools - Cadence". You will need to restart ADS to ensure that the new menu is correctly configured and running.
This option was never available as a standard part of the ADS installation prior to ADS 2011.01. You would need to contact Agilent to get this custom menu, which was part of a Import Utility Design Kit, for ADS 2009 Update 1.