The Add Videos section allows you to link directly from online sites like www.youtube.com; eg on youtube, you would copy the URL listed on the right of the video page you are viewing and paste that in to the link on the Add Videos section.

To upload your own video file, click on the Upload Videos section, browse to your video in step 1, browse to your video thumbnail in step 2, or tick the box if you have no thumbnail and then click upload and go to next step.  The next step consists of title, details etc that you may wish to give your file; click save when finished.