Well first you switch to project view mode. Click the blue media button. Now go to the top of the thing and click "add". This should come up with a small box asking you for the location of your file. I would recommend clicking the "copy media media file(s) into current directory" checkbox". Browse for your file and load it.
loading example:
load image 1,"your_picture_here.jpeg"
load music 1,"muzak.mp3"
load sound 1,"sound.wav"
That's about it! Hope I helped. Oh and about your game, I agree with Heckno. Plan it out. Are you going to make it 2d or 3d? What's the point of the game? Basic planning stuff. I recommend getting a pad of paper to draw out your ideas.
<edit> I doubt anyone is going to help you step by step through out the game without knowing some details of what's going on. Come up with a specific question to ask.
"There are no stupid questions, just a lot of inquisitive idiots."