To transfer your sheet music collection from other music notation software, use MusicXML. MusicXML is the standard exchange format for sheet music. Finale users can download a plugin to export their sheet music to MusicXML files and then import these in MuseScore via File -> Open.

Most Finale versions (incl. the free Finale NotePad 2012) come with MusicXML export, but if it doesn’t, or if you want a more accurate export,
download the Dolet plugin:

• Download for Windows
• Download for Mac OS X

Official download page: http://www.musicxml.com/dolet-plugin/