When the project and mapset region is created, it is easy to import raster and vector data, even if they are not defined on GRASS specified coordinate system.
File->Import Raster Map->Multiple Formats Using Gdal
and woila - here it is - r.in.gdal (or v.in.gdal, if importing vectors).
Otherwise (faster, by the way) importing raster using command line the same command - r.in.gdal and run in GUI.
If the raster (or vector) data has no specified coordinate system, you can
1) set it using ogr2ogr or
2) ignore this fact, and check Override projection (use location`s projection) under the Options tab.