Export does not export media

This is driving me batty. I'd like to export the total contents of a WordPress blog (ie posts, + pages + comments + tags + categories + media) to a new installation (mostly as a test). But advice such How to export images from media library when migrating and wordpress support : export assert that Tools : Export will attach images from the Media Library. In practice, with WP 3.1 this does not happen. The Export screen gives options to export 'all content', posts or pages but does not include the ability to attach media. Even the export on WordPress.com itself does not do this.
Is there any plugin that will allow me to attach contents of the Media Library to a blog export? If one cannot export or backup the Media Library you might as well use Flickr or Picasa and hot link to images there.
Thanks for any help offered.
Mark