AE 101:
To do anything to footage, audio or an image, it has to be imported into the currently open project, then dragged into a new or existing composition as a layer.
Effects have to be applied to a layer in a composition. You select the layer, then choose the desired effect from the effects menu.
Everything has to be rendered. Nothing can be done in real time in AE.
The rest of the basics are in the manual.
Steve