Sources are extroverted -- they are groups of pages. Files are the introverted evil twins. They represent single pieces of information or data that you want to load into CommandBar but don't come from a source.
You can add new files at Dashboard -> Content -> Files.
What can I provide as a File
Files can be
Use them whenever its more convenient to create a one-off file in CommandBar than in a Source.
Like sources, Files can be marked as
Use for training only. You can read more about training-only mode here.