You need to use the folder icons in the sidebar to locate and open the folder where your documents are, then drag those documents onto the Intenso disk drive icon that you also see in the sidebar.
• Double-click to open the folder where the files are located on your internal drive. Usually in the "Documents" folder.
• To select multiple files and folders, click on the first one to select it, then press the option key when you select a second, third, forth file, etc.
• Click-and-drag your files and folders from that location on your internal drive over to the external drive that you see in the left sidebar.
Also, please see these:
Organize files in folders on Mac - Apple Support
Use external storage devices with Mac - Apple Support