The Media Library contains all the images and other documents used on the website.

From the WordPress menu you add either view existing files using Library:

or add new files using Add New:

Whenever you need to add media such as images to a post, page, project or product, you will see the Library with the ability to tick one, or in some case several, of the existing images. From here you can also use the Upload tab to add new files:

If you are working with many images it is easier to manage them if they are stored in folders, which you can you using a plugin like Media Library Folders.