In Sitecore there is a difference between media item and media file.
A media item can be a image, a document or a video.
Media files are kept in a computer. Its when the file is uploaded to Sitecore a media item is created where the file is associated to the media item.

Media item can be –
1. Images
2. Videos
3. Documents including PDF
4. Audio files

The media item can be managed from the Media Library.