Simply drag and drop them into the window (you can hover over the minimized icon in both windows and mac while dragging and it should open the program).
You can also open the Media Explorer and locate the files there and drag from there.
Lastly, press the Insert button on your keyboard if you have it, it will bring up a dialogue to add media items. You can also run it from the actions window (Shift + /) and search 'insert media'.
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