First of all, you won't be able to import it unless:
A: both programs are in the same directory, or
B: the program you are trying to import is in a directory that is part of the PYTHONPATH variable.
However, either way, this is not the best way to run an external py file. It sounds like you want it to run ideally as an independent program, not as part of your current one. A program you import really shouldn't run anything upon importing, but should really just define some functions and variables for the main program's use. What you should use to run the program instead is subprocess, which launches a new program as if you had typed it into the command line.
Here is an example of code to run an external file. The other advantage of this way method is that the file does not have to be in the programs current working directory, it just has to have the file path of the program. Here is an example of the code:
import subprocess
filepath = "Documents/game"
subprocess.call("python "+filepath)
This will execute a new python process.
The other thing you could do is put the files in the same directory, and make the code that runs in game contained within a function, so that you can import it and than just call the function when you need it.