The Media Library holds all the media associated with your website such as images, downloads, videos. Although due to bandwidth you should store videos of more than 30 seconds duration on an external site such as Youtube or Vimeo.
To upload a file from your computer, it is easiest to use the drag and drop method. Open the Media LIbrary from the website dashboard in the menu on the left and click the ADD NEW button. Use Windows Explorer on your computer to find the image, download or file required. Hold the left mouse button down and then drag and drop the file into the library. The file should now be available tor all users to use.
If you are still unsure, watch this tutorial from YouTube
[embedpress]https://www.youtube.com/watch?v=raUG8H01YHg[/embedpress]