You usually create a staging table where you import the data. Then you insert the "valid" records with something like this :
Insert into dbo.RealTable (Key, Col1, Col2) Select Key, Col1, Col2 from dbo.Staging S where not exists (Select Key from dbo.RealTable RT where S.Key = RT.Key)
That will only insert data that is not already in the table based on a single column primary key.