MC18 is not just a music player - it's a media center application. This means that it can handle a wide range of file types, from music to video, images, pdf documents etc.
If you drag music files into the now playing section of Media Center, you can play them immediately.
If you drag them anywhere else, or drag a folder containing mixed content Media Center will import those files.
Using Windows Explorer to "manage" your media content is crude, and tends to break down as your library expands in size.
Media Center has excellent library management tools, so I suggest that you import all your media files (which may take some time initially) and manage your library inside Media Center.
Once the files are actually imported into Media Center's library, it's much faster than using Explorer.
You can also set it up to watch specific folders and automatically import content - you can also specify whether it is only looking for audio files, and not audio files, PDFs and image files, for example.