Hey I need some help with my blockchain.info address to import into my bitcoin-qt wallet.

How can I properly import the addresses? I always read about I have to export a private key? How does this work? Is this key the address or is it linked to it?
Do I have a new address in my wallet then?

Sorry for asking noob questions, I just dont feel to do it right and I dont want the nice xcp to fade away...

Many thanks!