To load a video, select "Add Video File..." from the "Video" menu. Navigate to the folder with your video in it.
If your video is not in the .AVI or .WMV formats, you will need to switch the "File Type" drop down from "Default Video Files" to "All Files". Now, you should see your video file. Select it to load it.
You will need to make sure that a proper video codec is installed in order to load a given video. See the "Video Is Not Loading" for more information.