Whether it is for importing, exporting, or other operations, Mathematica must know where to look for files on your computer before it can use them. There are a number of directories that Mathematica automatically searches for files. However, when the files you want to use are not in these directories, you need to specify their location. Mathematica provides several convenient ways for doing this.
When using this menu item, you must select an individual file. Mathematica will not let you select a folder. To insert a folder path, select a file in that folder and manually delete the file name from the path.
Alternatively, you can use DirectoryName with the file name:
In Linux, the keyboard shortcut for inserting a file or folder path with drag and drop is Shift. However, depending on your file manager program, you may not see a change in the cursor. Even if the cursor does not change, holding Shift while dragging and dropping a file or folder will still insert the correct path.
To learn about programmatically constructing file and directory paths, see How to: Input and Construct File Names in Mathematica.
For information on identifying and changing the directories that Mathematica automatically uses when looking for files, see How to: Locate and Use Files.