The project window in sde

As you can see there is a list of items with plus and minus boxes.

These are game settings, maps, tilesets, music, sounds, scripts, images, animations.

Currently in the picture shown, there are two spritesets in this project and the item spritesets is selected.

If you wanted to add more files to your game, you'd just select the item. e.g. spritesets and then look for the file you want. e.g. aegis.rss