Just drag-and-drop the file from Windows Explorer (or any other file browser) into the arrangement screen, either on an already existing track, or below the track list to create a new track.
The file will be added to the project contents this way as well, no need to add it first on the projects screen.
(For the sake of completeness – to get to a file which is in your project but not used in any arrangement, you’d use the project browser. Open browser, click menu button, select “Show Project Browser”, then drag-and-drop the file into an arrangement.)