I have not used terragen, but I think you can export at least the height-data as grayscale bitmap and a skybox with an all-around-view. I am not sure about the surface textures.
normally you would read the height data from the bitmap and form a set of triangle strips in a nested for-loop (for x and y coordinates), taking the current grayscale of your heightdata, multiplying it with some factor and use the result as the z coordinate of your vertex.
To get a reasonable looking terrain, you have to have at least one overall texture for your terrain with appropriate terrain type color and a repeated detail texture (often only luminance) to make your terrain look - well - more detailed 
Keep in mind, that you might have to implement some sort of level of detail optimization (e.g. clod or geomipmapping) to get good fps out of your rendering.