There are some different ways to add a song to a collection.
First of all in each method, you must have selected the collection you want to add songs to in the Collection Manager. Then you can press on the 'Add' button to add a song, there will appear an open file dialog so that you can choose which song to add.
The other methods to add a song depend on the state of the AutoAdd option.
If AutoAdd is active, when you open a song (using File | Open ... or Drag&:Drop) it (they) will be added to the active collection without user intervention . If AutoAdd is not active, when you open a song the Temporary Collection will be activated and cleared, and the opened songs will be added to it.