I have a plain sql file with some SQL INSERT statements.
Is it possible to import it in my local SQL Server Express instance?
You can use Management Studio Express edition. You can download the latest version here - which will work against SQL Express 2005, 2008 and 2008 R2.
If you don't want to install SSMSE then you can use sqlcmd at a command prompt, e.g. something like this (assuming Windows auth and an instance called "SQLEXPRESS"):
sqlcmd -S .\SQLEXPRESS -E -i "C:\path\file.sql"