Accessing documents, images from server

I’m new at this and can’t seem to find the answer on other posts. Have my own server space and using WP.org for my blog. Purchased a FTP program (transmit) that allows me to view server files. I want to place documents and images on the server and link to them from my blog. When I’m posting from the WP interface, I can’t figure out how to access the documents and images on the server. I can find things on my computer, but I thought the point of having a server was to download stuff there and then link to it. And, can I link to all types of documents or only certain ones? I tried to upload documents from the WP interface and it didn’t seem to work well. And, finally, where do I place the documents and images on the server. What folder?