You may use package graphicx to include external graphic files into your document. To place it absolute at the current page, you may use package textpos or eso-pic. If it should be placed as side note (aka margin note) you may either use \marginpar{\includegraphics[width=\marginwidth]{filename}}. If this results in problems with the vertical position you should habe a look at package marginfix. If you simply don't wont the margin note to float at the margin, try package marginnote and \marginnote{\includegraphics[wdith=\marginwidth]{filename}}.
Here a simply \marginpar example:
\begin{filecontents*}{\jobname.eps}
%!
%%BoundingBox:100 100 172 172
100 100 moveto
72 72 rlineto
72 neg 0 rlineto
72 72 neg rlineto
stroke
100 100 moveto
/Times-Roman findfont
72 scalefont
setfont
(A) show
showpage
\end{filecontents*}
\documentclass[mpinclude]{scrartcl}
\AfterCalculatingTypearea{\addtolength{\marginparwidth}{\marginparwidth}}
\recalctypearea
\usepackage[english]{babel}
\usepackage{blindtext}
\usepackage{graphicx}
\begin{document}
\section{Test}
\blindtext[3]
And now the
picture\marginpar{\includegraphics[width=\marginparwidth]{\jobname.eps}}
\blindtext[2]
\end{document}
