First of all, the 'import' statement hasn't yet widely supported by browsers, so if you really want to use it, you have to use a module bundler e.g. webpack, broswerify, to wrap all files into one big js file. However, if you are not familiar with those tools, to be honest, you have to spend many time to learn how to use them.
So I recommend you to keep things simple. For example, you can first make a copy of the library's source code and save it to your project's static folder, so that it can be served publicly. Second, you can create a HTML file, with following template:
<!DOCTYPE html>
<html>
<head>
<meta charset="utf-8">
<title>My first three.js app</title>
<style>
body { margin: 0; }
canvas { width: 100%; height: 100% }
</style>
</head>
<body>
<script src="/static/three.js"></script>
<script src="/static/script.js">
</body>
</html>
P.S. this example is from Three.js offical document, with a little modification.
Since all scripts in a HTML share a same global environment, after the first <script> tag is loaded, the code in the next <script> tag can access three.js's global variable that is loaded before!