Did you completely finish ME1 before attempting to import into ME2? The game doesn't create the final import character until you have beaten Saren and finished the following dialogue. Same deal with ME2 -> ME3. The import character isn't created until you have finished the Suicide Mission and have survived.
Once ME1 is finished, open ME2, create New Character and then choose Import ME1 Character.
EDIT: I should mention that my experience is with X-Box 360 and PS3. It seems you're running on PC, so I may have part of the import instructions wrong.
I finish the whole story of ME still can't import the character in to ME 2
