It says that because that's not where you import a "file".
Make sure you are NOT in easy mode. Click on the File Manager tab. Find the file on your hard drive and "import" it just like any soundpool object. You can preview it, "drag & drop" it into the arranger, or double-click on it to import it into the arranger. However, you have no control over where it ends up using the "double-click method".