I only have an old version of Fritz, but you can try the following.
1) Open the PGN in a text editor. Highlight the whole thing with the mouse and right-click and then choose Copy. Now in the Fritz window, paste it in.
OR
2) In Fritz Windows menu, open the database window. In the Database Window, there should be an option in the Edit menu to import games. Once it's in the database, click on it and it should transfer it over to Fritz.
Yeah, not really obvious. I agree.
I am trying to export games from chess.com to Fritz. I hit the PGN button, it asks for the default program. Fritz is not an option. Even when I try to manually identify chessbase as the right program, it does not work.
Work around so far is saving someplace else and then searching through Fritz for the game. Just trying to save a step. Thanks.