Choose Add AVI menu item that provides two options for inserting new frames into current animation or new objects into Objects Panel.It brings up the extended File Open dialog. Select the file  that you wish to insert and hit OK.  

Insert in the current frame that indicates the inserted files will become objects in the currently selected frame.

Insert as new frame(s) that indicates the new frames are automatically created and they use the newly inserted file as the background.
  Usuallly,the new inserted frames are after the last selected frame.