When using an application in Crossover, you can browse to and open files of the appropriate type on your Mac. Start by going to the File>Open dialogue in your program:
This dialogue often opens to "My Documents" by default, but the individual settings of your program may vary. This is the same folder as your main Documents folder on your Mac.
To access your Desktop, directly, click on "My Mac Desktop" in the "Look in" drop-down. "My Mac Desktop" is the link to your main desktop.
To browse into other directories, click on "My Computer"
Crossover assigns three drive letters by default.
The "Y:" corresponds to your user account's home directory. This is most likely where you'll want to go. Within "Y:" you'll find your Desktop, Documents, Downloads, Library, Music, and all of the other directories that you're used to seeing in your home directory on your Mac.
The "C:" corresponds to the "drive_c" folder inside your bottle. You'll almost never need to look in there when looking for documents.
The "Z:" corresponds to the lowest level of your Mac's hard drive. You'll almost never need to look there, either, unless you're looking for files on an external hard drive, USB device, or file server. If the files you need are on such an external device, head to Z:, and then "Volumes" - your external device should be accessible through this location.