With the animation bar open, select the animation and angle you want, then in the list of angles, right click. There are two main options that you'll use "Add Frame" and "Import Frames".
Add Frame lets you add (or draw) a single frame. Use this if you have lots of individual images.
Import Frames allows you to load a whole set at once, in the form of a sprite sheet. Once you select the sprite sheet, you give parameters such as the grid to cut along, and Construct will slice the sheet up for you. It's very handy.
Note: When importing frames, you'll need to specify transparency on each individual frame unless the sprite sheet is using "magic pink" in all of the areas of transparency (alpha channels will not work). In RGB, Magic Pink is 255R, 0G, 255B.