The method for accessing your media files depends on where you store them. If you store files in systemwide default locations (such as your iPhoto or iTunes library or the Movies folder), you can use the Media Browser feature in Keynote to access them. Alternatively, you can use the Insert > Choose command to access files that you've stored elsewhere on your hard drive.
Both methods work well, and we'll use them both throughout these lessons. For now, you'll work from iLife's default locations. For these exercises, you'll be using iLife '06. If you do not have this version, you will find the intermediate files in the Lessons folder so you can skip ahead.