You can save the files to the phone, if, that is, the phone has enough storage space to hold said files. If not, then it would require the addition of a SD card to the phone for more storage space. But even then it would have limitation.
I am going to assume, since you didn't mention where they are, that the files you want are on a computer. If that is the case, all you would need to do is connect the phone to the computer via USB cord. Then go to "Start" and open "Devices and Printers". The connected phone should show in there. Right click on the phone listed and choose "Brows Files". It will show both the device and the SD card (if it has one in it). Select which one you want to move the files to .
Next you will want to create a...