When you import photos into Lightroom, you create a link between the photo itself and the record of the photo in the catalog.
When importing, you work from left to right the import window. First, on the left, identify what files you want to import (the source files). Then, in the middle of the window, choose how you want to import them into the catalog (add, move, or copy them). Finally, on the right, specify where you want to store the files (the destination folder) and other options for the imported files.