What is the preferred method to import data into mySQL?

We use eventlist that has a venue and event database.

We would like to be able to import a whole CSV file into mySQL.

As an example we have been given the entire hockey season as a CSV http://downloads.lightning.nhl.com/other/schedule/2010-11-tbl-schedule.csv

We want to put up all the home games without 60+ events being hand typed.