Hey, welcome to the forums! Adding graphics in PGE uses the same way as it's in SMBX: you create a level, then you create a level folder which should be named after the level file name. For example if your level is called "mylevel" (without quotes), then you create a folder and name it "mylevel" too (again without quotes) and put it in the same directory where your level is.
In case you mean that PGE Editor won't boot up because a config pack is missing, then you should download at least one config pack from here:http://wohlsoft.ru/config_packs/
I recommend downloading "Super Mario Brothers X 1.3 Compatible" config pack as it has all vanilla SMBX stuff. To use config packs, you just create "configs" folder (without quotes) in your PGE Editor folder and put config pack(s) there.
Hopefully that helped!