Use the Add File button on the PCB Symbols page of the Library Manager dialog to browse to the PSY to add it to the currently selected symbol library, or even just drag-and-drop it there (if you are using a recent version of the application).
Thanks. Browse does not seem to be fully working from File>Open menu. Navigation tree on left works but the main pane does not update in line with the tree selection. Is this a known bug (v18.0.8)? I worked around by dragging the psy file from another Windows explorer window straight into an empty Easy-PC window.