Look on the back of the CD case. You will see information regarding the musician or band and the origin of the CD. If the CD lists a location anywhere outside of the U.S. it is an import CD. The most common locations are London and Tokyo.
Inspect the CD for foreign writing. Foreign writing will be especially prevalent in releases from Japan.
Visit the artist's website. Typically an artist has a web store that features all releases and music currently available. These sites typically state which CDs are imported. If the artist does not have an online store, you can also look up the music on Amazon.com.
Look on the CD itself. Often times the CD will state "Import" on its label.