The main rule: you never ever add anything directly to the folder with a book. You don't mess with the folder structure, files etc. in Calibre library. You don't even look in there
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There are no attachments as such in Calibre (something I very much regret and hope to see one day). However, you can simply add all extra files as if they were other ebook formats (using the "Edit metadata" dialog - just drag&drop). The only limit is that you can add only one file of a given format - but you can always try making adding a .zip, .rar etc. with all files packed together (just watch out if you're adding an archive with e.g. pdfs only - sometimes this would replace the original .pdf if you have such a format for your ebook).