Hi,
The blog doesn't currently support attachments but it is a planned feature mainly to support podcasting so that mp3 files could be associated with a post.
However you can still very easily upload files and link to them from a blog post. Just use the wysiwyg editor, type some text for the link then select the text and click the link item in the editor toolbar, it has a dialog window where you can browse files on the server and upload files and link to them. So in this way it kind of does already support attachments as links to files.
Hope that helps,
Joe