Many items, such as press releases, updates, and publications, can have sub-items of their own, like attached pictures or related PDFs. The Edit page for an item (which you bring up by clicking the Edit link to the left of the item - see the Edit page for more details) will list the different kind of sub-items that this type of content (such as a press release in the example below) allows:
In this example we can see that for this configuration of the Web Editor Press Releases can have related Pages and Attached Pictures. Your own configuration might be different (for example, if you are not using the Pages service, the option to tell the Web Editor what Pages this Press Release is related to will not be present).
To add a sub-item to an item, simply click the Edit link next to the item's name, and then click "Add new" next to the type of item you wish to add, just like you would for a regular item.
In turn, some sub-items can have sub-items of their own. For example, you can add Issues to Publications, Articles to Issues, and Pictures to Articles.