You must have a recent build of Blender.
Go to User Preferences.
Under Addons>Import-Export, check Import-Export: Import Makehuman (.mhx)
Save as default if that suits you.
Then select File, Import, scroll down to Makehuman and click.
Then select the name of your .mhx file. After a moment or two, your model will be loaded.
On Windows, .mhx files are saved in the Exports folder under \makehuman in My Documents. For example: C:\Users\<your name>\Documents\makehuman\exports
See this page for more detailed info:
http://sites.google.com/site/makehumandocs/blender-export-and-mhx