Zotero can automatically download files and webpage snapshots for each reference added to your library.
You can control this by opening Zotero preferences via the gear menu and selecting the "General" tab.
Please note that this feature works in MOST catalogs and databases, but does NOT work in all [Unfortunately, it does not work in ThomCat; however, it does work in PASCAL, WorldCat, and Amazon]. Be sure to verify that the document has been downloaded along with the citation information into your Zotero library! Also, check the citation information as you may need to add some fields manually.
Remember that attachments take up storage space, so keep this in mind when selecting the items to download automatically.
Downloading Files Manually
Files can be added to your Zotero library manually in a couple of ways.
After selecting an item in the center column, you can add a file as an attachment to that item.
Either select the "add attachment" button at the top of the center column or right click an item and choose the "add attachment" menu.
You can also drag a file from your computer [eg. your desktop] into your library. Dropping a file onto an item will add the file as an attachment of that item.
You can also drop the item into a collection in the left-hand column. In this case, the item will be added as an independent file.
You can also drag files around within your Zotero library.