When first working on your maps, it's easiest to connect them to one of the existing regions (even if this is just temporary). Later, once you've gotten more experience, you can move onto the more daunting task of Adding new Regions.
Start by navigating to the region folder (Rain World/World/Regions) that you want to add your level into. For convenience, many modders use Outskirts (SU). Take the files for your level that were exported after rendering your level with the level edtior, and place them into the region's Rooms folder. For your room to work, you may need to rename all of your level's files to match the region naming conventions. For example, if the region is SU, all of your filenames should start with "SU_".
Then open up the world_XX.txt file in a text editor. You need to find a pipe in the region that currently doesn't lead anywhere (will show up as DISCONNECTED), and map it so that it connects to your new room. Refer to the Room Connections documentation for details on how to understand and edit the pipe connections.