Select Add Data… under the File menu or click on the Add Data… button.

This will bring up the Add
Data dialog shown below. Select an ECW, JPEG 2000, ERS, URL or ALG raster
dataset in the list and click on the Add button.

Select an ECW, JPEG 2000, ERS, URL or ALG raster dataset from the left pane
category tree and click the Preview tab of the geography pane as shown
in the example below.
