There are two places on ZMZ to send messages - from the "Messages" page (accessible from the options at the top of the page), and from the "Messages" tab within every active project. These instructions apply to both.

Look at the bottom of the window where you type your message. If you look to the right,(after the yellow "Send" arrow), you should see an icon of a stylized paperclip that looks like a spiral. That is the "Add Attachment" button. Simply click that and navigate to the item you want to attach from your files.