Hi,

Yes,  it is possible to import data using apex data loader tool,

You can use the Data Loader to upload attachments to Salesforce. Before uploading attachments, note the following:
• If you intend to upload via the Bulk API, verify that Upload Bulk API Batch as Zip File on the Settings >
Settings page is enabled.
• If you are migrating attachments from a source Salesforce organization to a target Salesforce organization, begin by
requesting a data export for the source organization. On the Schedule Export page, make sure to select the Include
Attachments... checkbox, which causes the file Attachment.csv to be included in your export. You can use this
CSV file to upload the attachments. For more information on the export service, see Exporting Backup Data.
To upload attachments:
1. Confirm that the CSV file you intend to use for attachment importing contains the following required columns (each
column represents a Salesforce field):
• ParentId - the Salesforce ID of the parent record.
• Name - the name of the attachment file, such as myattachment.jpg.
• Body - the absolute path to the attachment on your local drive

Refer :

http://blogs.salesforce.com/blogs/2005/08/importing_attac.html 

http://wiki.developerforce.com/page/Apex_Data_Loader 

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Regards,

Md Farooq