Media consists of the images, video, recordings, and files that you upload and use in your blog. Media is typically uploaded and inserted into the content when writing a Post or writing a Page. Note that the Uploading Setting in the Settings Media Screen describes the location and structure of the upload directory (where your media files are stored). If you do need to upload Media, even if that Media is not related to a Post or Page, then you need to use the Media Add New Screen.
Visit the Media Add New Screen to install new media by clicking Add New link at the top of this screen or Select Media > Add New from left side menu.