Most applications seem to create unique file formats for their own convenience. For instance Excel 2003 application stores spreadsheets in a file with the .xls extension, Word 2007 stores documents as .docx files..
When an application is able to read a file created by another application, this is called 'importing'. For instance a word processing package such as Word can import a file from a spreadsheet application such as Excel. Photoshop can read .jpg photographic files. Media players can read all kinds of movie file formats so you can view them on-screen.
When an application is able to create a file in a form other than its native format, this is called 'exporting' a file. For instance, a spreadsheet package can export its data in a 'comma separated value' format (.csv file extension)