It's been a while since I've done it and I don't remember the details. But the basic idea is that you have two windows open side by side. One window is Windows File Explorer, opened to the folder containing the files you wish to link into RM. The other window is RM open to the RM Media Gallery. You may have to resize the windows to make them both fit on the screen at the same time. Then just drag and drop the files from Windows File Explorer to the RM Media Gallery.
Some RM users love this facility. I confess I have never quite seen the benefit. The reason is that getting the files linked into RM's Media Gallery doesn't seem to me to accomplish very much. You still have to tag the files to specific objects in RM such as People, Names, Sources, Citations, Events, and Places. And it's the latter task that's more time consuming. So I usually just use RM's Add process to the files directly to People, Names, Sources, Citations, Events, and Places. The Add process serves the dual process linking the files into the RM Media Gallery and tagging the files to the appropriate People, Names, etc. in RM. It's one file at a time. But after a bulk drag and drop of files into RM's Media Gallery, each file still has to be tagged to the appropriate places in RM, one file at a time.