You need to use the file>place command.
This is very, very basic and I'd respectfully suggest that you take a step back and learn a bit about the program. This link will get you a free one week trial of Lynda.com where you'll find some fabulous video training: http://bit.ly/RS0GXs
This is one of the occassions where I wish Adobe would put a bit more information and recognise it's an image format and say "You are trying to open an image file in InDesign - to Place the image in the Layout go to File>Place and choose the image from your location. <insert link to placing images on help file>"
I open a new document. On my Mac I use command-D. It takes me to my desktop or to a folder. If it's the wrong place, I back out to the desktop and from there I choose whatever location my image is at. When I see the location, I click on the 'open' on the bottom right of the page and the image opens in the document. You can't open images directly.