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 either click on the Select Files button or drag and drop the media file that you wanted to upload. 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.