Import P-CAD library files to Altium
Altium claims in this tutorial (and also here) that it can import P-CAD's .lib libraries.  

I did a quick test, which was successful.  I have downloaded a P-CAD library Microchip.lib from here.


in Altium.  File  → Import Wizard
Click Next
title: Select type of files to import
choose P-CAD Designs and Libraries files
Click Next
title: Importing P-CAD designs
Don't add any files (leave the list empty).  You only want to import libraries, but not designs.  I think, this is where the O.P. got stuck.
Click Next
title: Importing P-CAD library files
Add library(ies) which you wish to import.
Click Next
I clicked Next in all of the remaining wizard pages, accepted defaults.
After I clicked Finish, Altium created a folder called Imported Microchip.lib inside are .SchLib and .PcbLib files.


On a different occasion, I have also successfully imported P-CAD libraries in .p, .c, .d format into Altium (downloaded from here).

p.s.
This also worked for importing OrCAD libraries into Altium.  (Different choice for step 2., of course.)