To import a palette found on https://lospec.com you can either type in the url of the palette or type just the url slug name.
With this particular palette BIG CAT by Bobby Satriya we can hover over the title, right-click in Chrome and copy the full URL ( https://lospec.com/palette-list/big-cat ) ready to paste into Palette Knife. Alternatively we can type big-cat instead.

The palette will be imported into the current selected palette (out of the 6 available) with colours being imported starting from the cell currently chosen.