When you import photos into Lightroom, you create a link between the photo itself and the record of the photo in the catalog. In the case of importing from a camera or card reader, Lightroom copies the photos to your hard drive and adds the links to the photos in the catalog.
When importing, you work from left to right in 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 (when importing from a camera or card, you copy them). Finally, on the right, specify where you want to store the files (the destination folder) and other options for the imported files.