Do you mean with .sql files the output of the mysqldump command?
If so, did you dump all databases at once or not? If not, you'd have to create the databases manually (just "create database", no tables). Run the mysql command
mysql -u user -ppass < mydump.sql
and the database will be filled with the tables.
If you created the backup with --all-databases, you'd probable just have to run the mysql command once and the databases are created.
The users and grants is more difficult: those are kept in the mysql database. If you didn't backup that one either individually or with all-databases you have to create all accounts again.
(I realize now that this is my situation as well... hmm I should do something about that)
Be careful with the mysql version you use. 4.n and 5.0 are *not* compatible on the mysqldump level. You have to convert the databases first. It does not work to read 4.n dumps into 5.0. You should install the same version first and then upgrade.