Hey Leonardo,
What version of Keyboard Maestro are you using?
If pre-KM7 then it won't work for you.
If KM7.x then:
Open a macro for editing, and then double click the action in the Finder. The action will be imported into the macro you're working on.
If that doesn't work then get back to me.
In embedded references to topics on the KM forum you'll see an inverted triangle and an arrow (graphic).
Using those you can open (uncollapse) the specific post, or you can go to the topic.
See my original post (link).
If you read my post then you would be able to get the idea even though the action wasn't importing for you.
-Chris