To import an image sequence:
Double click in the Assets Window.
Navigate to an image sequence on your file system.
Double click one of the images or select one and hit 'Open'.
Drag the Asset from the Assets Window into the Scene Window.
This will create and set up a Footage Shape for you.
By default Cavalry will detect if an image sequence exists and import it automatically. You can prevent this by selecting the 'Any Still' filter at the bottom of the file browser.