Do the following:
1) Import the model using the World Editor's Import Manager.
2) Right-click the imported file and click Modify File Properties. Change the file path to the one it said on the screen you download it from.
3) Go into the Object Editor, go to the Units tab (if you're not already there), select the unit you want the model on, and change the model to the one imported under Art - Model.
4) Save your map and restart the World Editor. You should see the model on the unit that you want it to be on.