Is it possible to attach an image to a PM? If so How?
Not possible, as far as I know. (I've tried in the past and never found a way. :))
Yes, that would be handy. A fallback option is to upload the image somewhere to your server or to a service like DropBox ( a really great service, and free, too), and then link to it in the PM. DropBox is the way I tend to do it these days.
You will be happy to learn that Discourse does support this, so it is coming!