In the Virtual Classroom, you can not directly upload the media files using 'Upload from Desktop' feature. You must upload the media files in 'My Content' to use them in your live, online classes. It generally takes a few minutes to get these files processed and make them them available in the classroom, so try to upload your content a few hours before your class.

Otherwise, you may upload videos on YouTube and then use their embed link in Audio/Video window to share them.