The process is not very intuitive: After you've clicked on the checkbox to attach pictures, you need to select your picture with the "Browse" button AND click "Submit" for each picture. Repeat the process for as many pictures (within a limit) that you want to attach, AND then click on the "I'm done" link.

There are also other ways to attach pictures in the HTML editor, you can for instance open your picture in Paint, press CTRL+A and CTRL+C to select it all, go back to your post and press CTRL+V to paste the picture. Or, if the picture is on the web, you can right-click on it "Copy Image Location" or just "Copy" in Internet Explorer, then in your post, click on the "Insert/edit image" icon on the HTML editor toolbar (shaped like a tree). Then paste the image URL address and type a description to insert your picture.

These 2 options allow you to insert pictures wherever you want in your post, as opposed to at the end of the post for attachments.