@Christine: Looks like you are trying to change Featured Demo Slider with your own Image. For that, check out theme instructions page at http://catchthemes.com/theme-instructions/full-frame-pro/#featured-slider
1. First, you need to select the slider type from “Appearance => Customize => Featured Slider => Featured Slider Options”
2. Then depending up the slider type you need to setup accordingly. If you select Featured Image Slider, then you need to upload image, title, content and link as per your need from “Appearance => Customize => Featured Slider => Featured Slider Options”
If you choose Featured Page slider, then you need to select the page. These pages will replace the demo slider. Same with post slider and category slider. But make sure you have added in featured image in those page/post.