When an external device is inserted, like a SDcard or USBstick, the Ctrl+M file manager will automatically open it in a tab. To access your device later, open the file manager and navigate into the external storage directory and then open the device’s folder. In the file manager you can only open files or rename them.
You can copy files from external devices by going to file:///media/ and navigate into the device’s file tree and just right-click (or alt-click) the file you want to copy and select save link as... and then just save the file into your file shelf.