There are several ways to importing an audio or MIDI file into a session:
These methods are all equivalent: they open the Add Existing Media dialog.
Finally, files can also easily be imported into a project by dragging and dropping a file from some other application (e.g. the system's file manager). Files can either be dragged onto the Region List, into the desired track or into an empty space in the editor track display.
The file will be imported and copied into the session, and placed at the position where the drag ended.