Looking Glass window

I’m still setting up my Looking Glass, fully. Although I was an early bird buyer (from the UK) my computer didn’t have the right graphics card. I decided to hold back on getting a working setup. But then the Looking Glass Pro came out recently with an integrated Intel NUC computer. So I checked this out and have bought the exact same NUC computer. I simply have two parts - the Looking Glass display and the NUC computer.
The display now works fine but I am puzzled by the window that says drag your file into the Looking Glass window when a graphic appears saying I’m in the Looking Glass window. All I do is close this and I get a visual list of all the different videos. I click on a video and click play, the video launches and plays. So am I missing a step?
I have now bought the LEAP controller and have yet to set that up - there was a problem with my Internet speed connection, which I’m told is being sorted out.