It's a good idea to stay organized in the AE project window as well as your hard-drive. Make folders for your artwork, Photoshop files, and imported video. It helps to stay consistent from project to project so you know what to expect from yourself.
To import directly into a folder, select a folder in the project window and import a file in any of the following ways:
Hit Cmd+I (Ctrl+I).
Go to File>Import>File.
Double-click anywhere in the project window.
Any file you import will reside in the folder you selected pre-import. You can move from file to file in the project window by using the arrow keys.
To add folders to your project window click the new folder button at the bottom of the project window or press Cmd+Option+Shift+N (Ctrl+Alt+Shift+N).
To delete files and folders from the project window, select them and hit delete. To avoid the warning, select the files and hit Cmd+Delete (Ctrl+Delete).