References with PDFs attached will have a blue dot in the column with a paperclip in. Open the PDF by double clicking somewhere in the row.
This will open the PDF using your chosen PDF software (e.g. Adobe Reader, your browser). You can then use the annotation and highlight capabilities of your chosen PDF software to make notes on your document.
Zotero is currently developing a PDF reader which will allow annotations to be made directly within the software. Further information is available here on Zotero pdf reader preview.