Files are stored in the Amazon S3 bucket by default, and not in the Mendix database. You can create entities in your domain model that inherit from system.filedocument or system.image and use these to create objects to retrieve and show the files in your app.
If you want to use another S3 bucket beyond what Lennart mentions above, then you can integrate with S3 via the module in the marketplace. It uses the Java SDK from Amazon. It may be out of date but could be updated.