To import files you need to put them in the appropriate location in your Project Folder.
wav, ogg, mp3, aiff
fbx, obj, blend, dae, gltf, flb, 3ds, ase, ply, x
usd, usda, abc
png, jpg, jpeg
mp4, wmv, mov, asf, avi, dv, m4v, mpg, mpeg, ogv, vp8, webm