First, right-click the file in the Media List and select Edit in external editor (for image and audio files) or Edit outside PhotoStage (for video files) from the context menu.
If you have specified an external editor in the Other tab of the options dialog, then the editor you have chosen will open. Otherwise, the default editor will open (WavePad for audio files, PhotoPad for image files, VideoPad for video files).
Make any changes in the external editor and press save. Close the external editor when the save is complete.
Change back to PhotoStage. There should be a message saying "Editing in an external editor... Press Ok when done". Press the Ok button.
PhotoStage will reload the file so that your changes are visible. Note that for a video, the original file may not be overwritten by the external video editor (e.g. VideoPad). In that case, you will need to add the new file (created by the video editor) manually into PhotoStage.