Some asset types can be imported from the external file (models, textures, etc.) and some assets can be created right in the editor (scenes, physical materials, etc.). In both cases use Content Window.
For example to create a new physical material asset, simply navigate to the Content directory in the Content window, then right-click and choose option New -> Physical Material. Specify its name and press Enter.
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 Import button in a Content window toolbar and then select files to import.
After choosing the files 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.