It comes with a library. A media library can read metadata from content and use that to build up an index, or it can monkey around with the location of the content by copying or moving it to some special folder and then read the metadata there.

Ideally, software supports both ways of working (lots of people prefer to have the software take over, lots of people are worried this will make a mess, or don't want to live with some constraint the software imposes, or whatever).

Calibre will only index content imported into its library.