Aside from letting you just play individual files, Iguana DJ has a built in library function which will allow you to organise, tag, browse and quickly search through your existing media collection.
To enable it, simply go to the Settings menu (the cog icon, second from the right) and find and open the "Library" section. Here you can define the folders that Iguana DJ will scan to find your music collection. Add new locations using the two buttons highlighted below.
Once you've added your locations, click Save at the bottom of the page and Iguana DJ will start analysing your files. Depending on the size of your collection and how powerful your PC is, this may take a while, but you should start to see them appear under your library (accessible by clicking on the Media icon - second from the left, then choosing Library).
Through your library, you can manage the tags on each of your files if Iguana DJ was unable to determine them correctly, which will better organise them. Indexed items from your library will also appear as results in the search screen.