You can do this a couple of ways.
One is the link feature. Such as the button second from the left here at this site,when making a reply it has a globe with a chain link in it.
Just copy the url to the file and select the icon.
It will prompt you for the url. Paste the location of the file. Then when you select okay it will prompt you for what you want the link to say.
The second method is a file attachment. If enabled in the forum permissions when you make a post, directly below the post area you will see a link for file manager. When you select this you are prompted to browse your computer and select a file to upload or attach to your post.
Depending on your control panel settings again. If the file size is below the inline setting the attachment will show for say a image. If the file size is above the inline setting in KB it will show as a link.
I believe you can test both of these methods in the test forum here.
Settings in the control panel will allow file types that are allowed,File size,Number of files and when the file is displayed instead of a link(this is generally for images)
And of course all the above are set per group.
