The basic steps to achieve what you want are:

1. Download the data in CSV format from the website of your choice
2. Convert the CSV files to BAR files.
3. Add the asset to Assets.dta in the History folder so that the asset appears in your scroll box
4. You can anlayse bar periods that are greater than or equal to the periodicity of the data you downloaded. For example, if you have daily data, you can analyse daily, weekly, monthly bars, but not hourly.

How to accomplish each step is detailed in the manual.

Hope that helps.