You can add files to your Video Library in the DivX Player by:
Going to File > Import File(s) or Import Folder(s) to Library
You can also drag and drop your files into the DivX Player when you video library view is selected.
Playing a file will automatically add it to your Video Library. To turn this off go to File > Preferences > Video Library and uncheck "automatically add files that I play in my Video Library"
Putting files in your default movies folder will automatically add them to your Video Library. The default movies folder for DivX Player is in C:\Users\Your Username\Videos\DivX Movies