Hi,
If you enable notes for that entity, you could attach lots of files to that record. To enable note on an entity go settings > customization > customize the system > the desired entity > check the notes box.
The last question is not clear, but I think you are trying to do the attachment and download with a plugin. Am I wrong?
If I assume this, refer to this link about downloading attachments from records:
http://weblogs.asp.net/pabloperalta/archive/2012/03/28/how-to-download-the-attachment-of-a-note-within-a-plugin-in-dynamics-crm.aspx
And for attaching files refer to:
http://rajeevpentyala.wordpress.com/2012/07/03/adding-file-as-attachment-to-entities-programmatically-in-plug-in/
Also have a look at the SDK. You could find good samples.
BTW, about the associations you could create 1:N relations from/to your custom entity.
Hope this helps you countryman! ;)
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