Python 2

Make an empty file called __init__.py in the same directory as the files. That will signify to Python that it's "ok to import from this directory".

Then just do...

from user import User
from dir import Dir

The same holds true if the files are in a subdirectory - put an __init__.py in the subdirectory as well, and then use regular import statements, with dot notation. For each level of directory, you need to add to the import path.

bin/
    main.py
    classes/
        user.py
        dir.py

So if the directory was named "classes", then you'd do this:

from classes.user import User
from classes.dir import Dir

Python 3

Same as previous, but prefix the module name with a . if not using a subdirectory:

from .user import User
from .dir import Dir

I just learned (thanks to martineau's comment) that, in order to import classes from files within the same directory, you would now write in Python 3:

from .user import User
from .dir import Dir

From python3.3 upwards, __init__.py is no longer necessary. If the current directory of the console is the directory where the python script is located, everything works fine with

import user

However, this won't work if called from a different directory, which does not contain user.py.
In that case, use

from . import user

This works even if you want to import the whole file instead of just a class from there.

In your main.py:

from user import Class

where Class is the name of the class you want to import.

If you want to call a method of Class, you can call it using:

Class.method

Note that there should be an empty __init__.py file in the same directory.