Finding attachments in Gmail conversations isn't quite as intuitive as it "could" be. But once you know where to find them it's simple.
To find the attachments the old fashioned way by looking at them simply find the email conversation you're after, then select it to open it up to see the whole conversation:
In this view you could have multiple emails in the conversation, Gmail squishes these down and shows you the first email (top) and the last email or most recent (bottom). The rest are hidden away and you can expand them by clicking on the "X older messages" section.
Now you can see the email in the conversation that have the attachments by the paper clip icon
Then simply click on those emails to open them up and reveal the attachments:
NOTE: What ever you do, don't expand the email history from inside another email using the ellipsis otherwise you're emails will be messy and hard to read.... it sucks I know....
In the Gmail search bar, type in the search request like this: