To add a new photo, video or audio file to the Media Gallery, you will first need to create a destination Album:
Ensure the Media Gallery module is dragged onto the page layout and activated, then click on the module "Options" link and select the "Create a new Album" option.
In the resulting pop-up window, give the new album a title and then click the "Create Album" button to proceed.
Once the album view loads up, you will see a blank preview area. The "Add Media" link is on the top-right of the window. Click on this to start uploading media files.
In the next panel, you will be prompted to select the media files to upload from your file system (e.g. from your Desktop, Documents or network storage folder).
Once the file has been selected, click on the "Upload Media" button to proceed. Your media will then be uploaded and displayed in the album preview window.