They're ingame files, GOD!
What, do you think Warcraft has no skins in its mpq or something?
Seeing as you're being as blind as some sort of jellyfish in this situation, I'll just copy and paste some things which are BLINDLY OBVIOUS on the page you downloaded the model from
Infact, I won't bother. LOOK AT THE FREAKING PAGE AGAIN
http://www.wc3sear.ch/?p=Models&ID=4230
There, you see that? GO AND READ IT AGAIN
Also stop making a new effing topic for every single post, its STUPID