.blp files are just the skin files for models, or the image files of buttons and other user interface things. Once you upload them into your map, make sure the file path of the skin/image it is overwriting is correct.
For example, a footman skin like would look like
"units/human/footman/footman.blp"
Refer to War3Viewer (in the tools section) to easily get file paths. Changing a .blp file to an .mdx wont do anything excapt make the .blp not work.
-VGsatomi