First of all, pull the imported media to timeline/track, then select the movie(object) on timeline/track by left clicking on that (what you would like to edit), then choose that filter what you would like to use.
An 'object' in MEP is a individual video clip, an audio file, a jpeg image etc -- NOT the project as a whole. When selected its color on the time will change. You can select more than one object at a time and you'll generally be prompted as to whether you want your effect / filter to be applied to all selected.
The MEP manual is a pdf file which should have been installed in the same folder as the program. Also, have you used the 'Help' facility from the main top menu?