KajQrd: I might be wrong but as far as I know you can't import parties from older games in the Might and Magic series. Furthermore as far as I have been able to tell so far the link between the different games storywise is very weak. They all seem to be very independent games except for IV and V.
Thiev: Not to mention, that the party from MM3 already plays a role in MM7 storline ;)
You can import characters from MM1 into MM2. I believe there was plans to do so from MM2 to MM3 as well, but they were dropped for some reason.
As far as the story goes, MM1-5 make a single story arch, with the MM1-3 having the same party, following Corak and Sheltem. At the end of 3, they blast off headed for Xeen. At the start of Xeen (or in the manual, actually, I think) it's noted that their ship is shot down. Thus, when MM4 starts, it is an entirely new party. The party in the ship that was shot down is then used in MM7, having managed to emergency teleport away. The fate of the adventurers of Xeen is left to your imagination, as they are never seen again in any other game, to the best of my knowledge.