How do I bring one file into another?

I’m trying to bring a gun into another model. Do I just drag and drop, or do I have to rebuild a new one?

Use the Append function Shift+F1 to bring something from one blend file into another blend file.
http://wiki.blender.org/index.php/Doc:Manual/Data_System/Linked_Libraries

When I select a saved file, it says the library does not exist. What is wrong here?