You can append geometry and data from the selected files to the currently open 3D model or 2D sheet.
If you are appending two multi-sheet files together, once the default sheet/model is appended to the current scene, you have an option of adding the rest of the sheets/models to your file. You can customize this behavior in the Options Editor (Interface 
Appending and Merging). You can also perform geometry and data append from within your file, that is append 2D sheets or 3D models listed in the Project Browser to the currently open sheet or model. See Add Geometry and Metadata to the Current Sheet/Model.
Note: If you try to drag and drop files directly into the Selection Tree window or to use the Open dialog box, you will create a new Autodesk Navisworks file instead.