Creating Assets
Some asset types can be imported from external files (models, textures, etc.) and some assets can be created right in the editor (scenes, physical materials, etc.). In both cases use Content Window.
Creating assets
For example to create a new physical material asset, simply navigate to the Content directory in the Content window, then right-click and choose the option New -> Physics -> Physical Material. Specify its name and press Enter.
Importing assets
The easiest way to import one or more textures/models/etc. is to drag them from Explorer to the Content window.
Alternatively, you can use the Import button in a Content window toolbar and then select any files to import.
After choosing the files the Import file settings dialog shows up. It's used to specify import options per asset. In most cases the default values are fine and you can just press the Import button.