When the program starts, it opens your device's Media Library so that you can select songs or sounds that you want to use for training. It can be efficient to create playlists in iTunes, and then just select a whole playlist.
If you try to start the app without selecting any songs, an Alert will pop up to redirect you back to the library until at least one song has been chosen.
The "jukebox" icon returns you to the library, where you can add more songs to the beginning of the playlist.