There will be nothing in the Clip menu unless you've opened media (video or images) via the Movie Clip Editor. At all other times it's just a blank menu.
Movie simply means a video (.AVI, .MOV, .MP4, .MKV, etc.). This can have video and audio combined (which Blender then separates upon load).
Adding an Image (.PNG, .JPG, .BMP, etc.) will do a couple of things. First, you can add a single image which can be stretched over several frames. Like if you wanted a picture of an album cover to be displayed while a song was playing in the background.
But Blender also allows you to render stills and save them to the hard drive in sequential order automatically. If you create, say, a 240 frame animation, Blender will render those frames 0001.png to 0240.png and store them in a folder. You can then add them to the VSE and Blender will play them in sequential order automatically. If you set the video framerate to 24fps, your video will be 10 seconds long.