On Upload / Insert you can insert images, videos, sounds and other media: To add an image, video, sound, or other media: Clickingthe Select File menu you can add a picture present in your PC.
Once selected you can write an image alternate text (the alt attribute of the image), a description and decide the alignement of the image within the text.
Choosing URLs with you instead enter the direct url to be inserted.
Media library allows to display images, or other media, only when you have already placed in your website or blog.
The screen is the same for adding images, video, audio and other media.