How to associate media with a post?

If you want to give the users some course material to download, you could simply “Add Media” or “Upload ZIP” into the “Course” content section.

Also if you want only people who start a “Course” to have the course material then you could place the Course material files in the content of the “Unit” post type that you add to the “Course Curriculum” part.

If you just want to have the File name, description and size to be displayed then you would need to add a Custom Field (Meta Boxes) and then modify the single-course template to display these fields.