Hi @castleworksmotorsports,
Welcome to the Fusion 360 Community!
For an STL file - you will want to use the Insert menu and select Insert Mesh. Just as a heads up - the mesh editing capability in Fusion in limited. Would be curious what your expected workflow is for the STL file.

For all other file types, you will need to upload these to your data panel (or for a select few such as STEP you can open them locally). This guide here walks you through that.
Thanks,
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James Youmatz
General Adoption Manager | Informed Design