Media is managed much the same way as content. The difference is
that media items dont have a "spoken Url" and a template and that
media items in general usually represents a physically file.
All media within your site first needs to be loaded into the Media section. The Media section is basically a media library for the site. Within the Media section you can create folders and files in a similar manner to that of your desktop computer.
In Umbraco version 4.5 a recycle bin has been added to the Media tab which means that any files or folders that are deleted are moved to the recycle bin before being deleted permanently from the server.