The Add Layer menu option will open an add layer dialogue which will allow you to add vector or raster layers to the project (by selecting the appropriate file type from the 'File of type' drop down box). Any supported vector files, raster files, or well known image can be added individual or can be added as a group. See Show Layer Control topic for details of supported formats and how to add groups of files.
The Ctrl+A keyboards shortcut can also be used to activate the add layer dialogue.