If you want to access the lessons library and add one to some course, go to that course and visit the course's dashboard (1). Once you do that, click on the Add content button (2) and then select the option Go to lessons library (3).
The lessons library contains all lessons available in your system. Over there you will be able to view all lessons that are assigned to the current course. You can assign a lesson to your course by clicking on the Assigned to course column on the corresponding option (4).