To my knowledge you can't do anything more in PM than you can on the forums. You can insert YouTube, pictures and hyperlinks but only to the extent that you can on the rest of the site. So no "attachments" per se, like a Word doc, Excel, PDF or video. If you have Dropbox you could put it there and place a hyperlink in the message as a work around.
That's what I know, perhaps a mod has more insight.