One of the REALLY cool things about Studio One is that there are HUNDREDS of video's available to help you, and even a site dedicated to Studio One, and Studio techniques. http://www.homestudiotrainer.com/
I simply typed in a Google search "Why can't I import files into Studio One"? Then, from the PLETHORA of answers I pulled this:
Note also that there is a 'Knowledge base" where there is a LOT of information available!
There are also a number of Presonus sponsored videos:
As for your other problem, In studio One you should have set up your interface. This is done on the front page, under the 'Setup' tab in the center. For instance, if you have an Audiobox USB hooked up, that should appear as an option, Windows audio should also be available.
Open the START menu, and select 'control panel' > 'sound' > 'Playback' here you will see your installed interface device (like Audiobox USB ...for instance) and Via high definition audio device...If the later is selected as the default, you can play sounds out of your computer, and if there are headphones, or speakers attached to the green audio out jack you will hear whatever you play (like Youtube) coming out from there. However, if Audio box USB is selected as default device, then ONLY things like your audio projects played in Studio One will come out of the green Jack. So make sure you have the right source selected.
Note that if you have the speakers connected to the back of your interface (like the Audiobox USB) then you need to route the playback through it.