If you've downloaded the Zotero Connector, clicking on the button in your browser window to save an item to Zotero will automatically save its PDF if a PDF is available.
You can add a file (PDF, Word, etc.) to a reference in Zotero by dragging it from where it's saved on your computer and dropping it onto your selected reference in the center pane of your Zotero library.
You can also add a file (PDF, Word, etc.) to a reference by clicking on its title and then clicking the paperclip icon at the top of the center column. You can then select:
You can also right click on an item's title and then choose Add Attachment to see the attachment options listed above.