Just add the PDF file to the project, the same way you would add an image or a video - click the Add button in the jAlbum Explore view and navigate to the PDF file, or click and drag the PDF into the jAlbum window.
Be aware that the PDF will not display when you do a local preview - you'll get an empty frame with an error message. The PDF will display only when you view the album from a server.
To get the thumbnail to display an image, rather than just a generic PDF icon, use the standard jAlbum trick of adding a THM file along with the PDF. So, if your PDF is mydog.pdf, choose a JPG that you want to use to represent it (outside of jAlbum), and rename it mydog.thm. Then add mydog.pdf and mydog.thm to the project at the same time.
Tricky. You could enter a comment for it, and tell the skin to display comments with thumbnails, but that would show your entered comments on all of the thumbnails, not just this one, which isn't what you're after.
Poking around your album, I'm guessing that you haven't entered any titles for the other images in the album. If that's true, you could enter a title for just this one object (see exploreTitle.png), and then tell the skin to display the title under the image thumbnails, but not to use the file name if there's no title (see jupiterTitle.png).