Originally Posted by gap

Easy:

File => Import Image...

The recently imported image will be listed in the Images section of the Outliner window. The method for assigning an image to a given material varies depending on the Wings version you are running. In the latest version you simply drag the image on top of the material, and then you choose the wanted texture type (diffuse in your case). If memory serves me well, in older versions you should right click on a material, and assign the texture from the following menu...