WebPlus X6: Is the File Manager on my server?

I am still confused about something. I know that we can use WP6's file manager to put files into and then create links to them etc... and I understand the option of file - publish - maintain site.... but where is the file manager located? On my server somewhere? I mean when I used to use Frontpage - files were uploaded to my server to a specific folder.

I don't know whether to use file manager and reload the music clips to that or create a path to the music clips already on my server.... which is better?

Thanks
Leah