Where is the WP Media Library???

Hiya, i am trying to add a header image that I created to my wordpress flexibility theme, but it says –

If you want to use a custom header image, upload to the WP Media Library and paste the FULL URL of the image in the blank.

Could someone please tell me where I can find the WP Media Library? All I can see is the image folder. Also, how do I get the http link after I have uploaded it to the media library?

Thank you.