[Tamlin]

There are a couple of ways (at least) to do this.
Most common method:

1. Open the image you want to add.
2. Select the Move tool.
3. Click on the image and drag it into your new document. You don't even need to create a layer beforehand - a new layer will automatically be created to hold the copy of the image.

If you have CS3 (not sure if this option is available in earlier versions):

1. Select File > Place...
2. Browse to and select the image you want to insert.
3. Click Place
4. The new image will be inserted as a Smart Object.