It is a common mistake that we make, not a problem because of not understanding the File System properly. You can read the following post to get the basic idea of File System.
You are testing on dedicated client and you try to query on Attachment BC or you try to download a file attached in the attachment applet and you get an error “File could not be found on file system”. But you can see that the attachment record is present and it works fine if you access the record through thin client.
As I already mentioned this is a mistake not a problem so, I am just giving the reason.
You are trying to test it on dedicated client and the CFG of your dedicated client refers to files system of you local PC. Where as the record was created via thin client and then CFG of server was referred and file was stored in the path mentioned in the CFG of server.
So, you need to create a attachment record in dedicated first before you can successfully query or download it.
Don’t delete an attachment record created via web client from a dedicated client as the record from the attachment BC will be deleted but the file from file system will not be deleted, as CFG points to a different files system. It will result in an Orphaned file on file system.