Which eclipse version are you using?
If you are using eclipse Juno, then you don't have option to import existing, however you can still import the existing project using import new and then giving the exact path of your existing module or project, and it will import it as an existing project only.
So all you need is the atg plugin for eclipse.
Atg eclipse plugin is available in the latest atg release, that's Atg 10.1.1
All you need to do is get the eclipse plugin for atg from the latest release and put it in your eclipse and then you be able to see the option to create new atg module.