The very first key ingredient to start using DocSend is to upload your first document. From the documents section (https://docsend.com/documents) click on the green + New Document button.
From there, you can drag-and-drop any file from your computer into the upload screen. Or, you can connect any other storage service (like Box, Dropbox, Google Drive, or OneDrive) and upload your material directly from that account.
Here's a short video of how that's done:
For more info on supported file types, file size limits, and other document related questions, check out the Documents section in the Help Center.