You have a layer section in the EGP ... and you have a layer section in the ECP, the Effects Control Panel.
Are you trying to add the image in the ECP or the EGP, or drag/drop the image on a sequence itself?
Now ... for including an image like jpeg, png & etc. in a mogrt, you need to go to the EGP panel, and at the bottom right corner of the Edit tab's layer stack, click on the "new item" icon ... the little page with a folded corner.
Then select "from file" and it pops up an Explorer/Finder window. Navigate to and select the image, and it is now part of the layer stack for that mogrt.