You can add new media directly to the media library by clicking on Add New in the Media widget:
The Add New Media, or Upload New Media screen looks like this:
To add new media click on the Select Files button. This functions exactly the same as adding media directly to a page or post.
Once you have uploaded your file you will be able to set the Title, Caption and Description for the file:
Enter the Title, Caption and Description into the appropriate fields and click on the Save all changes button to save your changes in the media library.