What is it Media library?
You can think about Medial library as about file storage - you can put here all kind of types and after use them from there. If you’re trying to select any assets for Assets picket or attach something by link you need to do it using Media library.
Media library is shared for one organisation and content outside of the organisation isn’t visible \ isn’t available for others.
You can find Media library under Files tab:
Here you can drag and drop items or upload with file picker. Also you can created folders for better structure if you want to. By clicking Edit you can find more information about the file (here you can find uniq link to each file which you can use inside your apps)
Preview is available for images.