Add New allows a user to add a new files. To add a new files select “Add New” under Media menu or next to Media Library as shown in this image.
Once “Add New” is selected, the “Upload New Media ” page will be displayed. Here you can add new files by dragging and dropping files or select files by location.
Drag and Drop
To Drag-and-Drop open the folder with the files you want, select the files, then drag them over to the Drag Files Area as shown in this image.
Select Files
You can use the Select Files button to open a folder, navigate to the files you want to add, select the files, then select Open.
For acceptable file types check this link: http://en.support.wordpress.com/accepted-filetypes/.