You use a program called windows explorer. In vixen all the files are in 3 separate folders - audio, profiles, sequences. You have to go into each of the Vixen folders and copy the appropriate files to the xlights folder. Do a copy not a move. What version of vixen are you using? For v2.1 the folders are under the vixen folder which is usually in the root of the C drive, ie. c:vixen\audio, etc. Your xlights folder can be anywere, but usually it will be in the my documents folder and at least for me I named mine xlights data. there is no separate audio, etc folders for xlights, everything is just thrown into one folder. Some instructions will vary based on what version of windows you are using. If you don't know how to use windows explorer then you should be using google to look for a "How to copy files in Windows 7 (or xp or whatever)" tutorial.
edited for grammar and spelling