Before you can add a file or directory to the User Interface via the Add File button, you'll have to configure the Auditing for these files/directories. So the Agent has enough information about the accessing of these files and directories and can notify/report to you.
For each operating system the auditing configuration works different:
NB: If your security policy and file auditing settings are incorrect, you receive an notification. This feature is not supported in Windows XP and Win 2003