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I had a bunch of styles that I've created in various documents. Since I didn't want to recreate them all, I tried to import them. Unfortunately, there was nothing to import. I then looked for the style library and there was nothing in there either.
So, what happened to all my styles?

You would have had to save styles from a document to your style library in order to have anything to import into another document.

Scottin is correct: the Style Library only stores styles that you explicitly save to it. If you want to use the Style Library, here's what I would suggest:

1. Open an existing document, one with styles that you want to use elsewhere.
2. Switch to the style sheet, eg: use the the menu View > Style Sheet.
3. From the list of all styles on the left, select the styles you want to make available for other documents.
4. Click the button "Save to Style Library" or use the menu Insert > New Style > Save to Style Library.
5. A dialog will appear on-screen, letting you add the styles to the Style Library.

Here's what my screen looks like after choosing two heading styles to save to my Style Library: Now that you've saved some styles to your Style Library, you can easily add them to other documents. If you're working in another document and want to import some styles just use the menu Insert > New Style > Import From Style Library. This command is also available via the style sheet and Styles palette.

I hope that helps. Please let us know if you have any questions.