When you are uploading a file from a form the file will be uploaded to your server. Once the file has been successfully uploaded to your server you can then reference the path and name for this file to attach it to your email.
If you are following the document and you have the values listed properly in the attachments tab then the problem is likely that the file has not been successfully uploaded to the server. Please post back and include the values you have entered for the attachment.
Also, were you able to add the WA Upload Files Global Status > debug info binding to the thank you page and see this information? This information will reveal the status of the upload and if the file has successfully been uploaded. Please post back with this info so that we can help you get this worked out.