You can use Zotero to work with your PDF files. To do so you need a PDF reader. There are several free PDF applications, but the most used is Adobe Reader. Take a look at this page showing an overview of different free PDF applications: https://blog.hubspot.com/marketing/best-free-pdf-reader.
Right-click a reference with an attached PDF and choose View PDF to open the document in your preferred PDF reader (usually Adobe Reader).
Use the tools in Adobe reader for highlighting and comments. Save the document in the same location when you're finished working on the document.
Here's an example showing highlighting and comments in a PDF document.
Zotfile is a Zotero plugin which can be used to handle PDF's and do tasks like changing filename, moving and attaching PDF's (or other file types) to Zotero references. Zotfile can also extract highlighted text and notes from your documents and save them in a Zotero note.