Let's add a data layer to the US Counties map. Before we do, let's make sure ArcPro knows where your files are located. In the Catalog pane, expand Folders and see whether your data folder is shown.
If not, don't worry; your files are still where you left them! Right-click on Folders and select Add Folder Connection (don't see the Catalog pane? Click View|Catalog|Catalog Pane):
- Browse to your folder and single-click it, then click OK (if you accidentally double-clicked, you will get a This container is empty message, and you will need to back up one level and single-click your folder):