Yoav --
In the future, please let us know what version of Project Server you are
using. 2002, 2003, or 2007? In 2002 and 2003, navigate to the View a
Project page for the project in question, select a task, and then click the
Link Documents button. In 2007, navigate to the Project Details page for
the project in question, select a task, click the Actions pick list button
and select the Link Documents item on the pick list. Hope this helps.