To add a media file - from a study, click on the Add Media file green button. Or you can enter a file all on its own from the Media Files tab.
From there, choose a server. For help on how to set up a server, see the Setting Up a Server article. Most likely it will be YouTube or an mp3 file. For YouTube just put in the URL of the video like the picture. If you have come from a study, all the study details will be prefilled. Otherwise you'll have to choose a study to connect this media file to.
If you have an mp3 file you can choose the Legacy Server. Just enter in some details about the site, including the URL of your main site under Details, then add your media file. You can even upload it directly.
If you click the Options tab you have fields to fill out, including uploading and determining the filesize of your mp3. These options do not appear for YouTube videos.
Click Save and Close and you're done!