You have tp import all skins (those with .blp at the end)
For those you have to set the right pathes.
For setting the pathes, just open the import manager and double click on the skin.
Now tick the little box, so you can type in a custom path.
Normally you just have to remove the war3imported, but you can always find the right path in the readme file that comes along with your model or on the website where you downloaded it.
In your case the path is "Textures\RPGHeroWarrior.blp", so type in this for the custom path.
Anyway it will appear as a greenblack box at the first time, but don't be afraid, that's normal.
Just save the map, close it and then re-open it and it will show perfectly.
I hope it helped you.
chilla_killa