Either drag the photo into the binder from the Windows file explorer, or go to file->import->files. The difference here is that you added the image to a text file (a folder can act just like a text file in this regard). By importing the image file directly to the binder, you’ll be able to select it for compiling a cover photo.
Note that the image cannot be imported into the Draft/Manuscript folder, but the Research folder will work nicely.