The only one you can add to ArcGIS Pro is the .ecw. It's a raster dataset. Make sure you have a map open in Pro, then just drag it onto your map from your catalog pane, or use the add data button and navigate to the .ecw file, or you can drag and drop from Windows Explorer.
The .eww and prj files are what's called sidecar or metadata files, they just contain georeferencing information for the .ecw raster. You can't (and don't need to) add them to Pro.
