Click on where it says 'wad' with the lock icon, and a selection list should appear below that window, where you can manage wads. Use the + icon to add new wads. If the list doesn't appear, you might need to fiddle with the vertical drag handles on the various right hand panels.
(Note that this is with the latest Trenchbroom. If you're using a version from 2024, wads are managed differently, but I can't quite remember how...!)
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