Is it possible to import models into a scene?

Is it possible to import a model into a scene you are working on or do you have to make everything in one blend file? When I used the import option it just opens another blender window and the object is by itself.

Use Shift+F1 to append objects, materials or anything from other blend files.

You want to append or link.

Edit: Ha! Richard and I posted at the same time.