Mo,
I am not exactly sure what types of "files" you are referring to. However, I will try to answer your question as best as possible.
Dotnetnuke doesn't by default store files as blobs in the database. It can be setup to do so but it doesn't do so by default.
If you look at the "File Manager" under the "Admin" menu you will see that you have the ability to create new folders. There are three options you have: Standard - File System, Secure - File System and Secure - Database Secure. The first two options store your files in the file system as normal. The third option stores your files as blobs in the database. So depending on which folder you want to store your items in will determine if the files are actually being stored in the database.
Let's assume that you are using the file system to store files. Each portal has its' own root folder where it stores uploaded files. If you only have one portal the root folder is located at /portals/0/ where 0 represents the PortalID.
It is quite easy to mass migrate information into the DNN System. You can go into the file system through windows create a new folder under the /portals/0/ files system and copy your files into the folder.
Then login to Dotnetnuke as an Admin and head over to "Admin" | "File Manger" and click on the "Synchronize Files" button in the upper right. I usually tick the Recursive checkbox as well.
This will create database entries in the files table describing each file.
I hope that helps,
Stuart