So when you import it, you need to double click on the entry (what you just downloaded) in the import manager and there should be a dialog. You should check the box that allows you to use a custom path. Erase everything from the backslash, or the '\' back so you have something like, "example.mdl".
Now you should go to a unit or create a custom unit, and change the model file to what your dwarf warrior is (you click the bubble that says "imported" and select what you imported)
If it does not work when you place the unit (it will most likely appear as a purple/green box) then you should save your work in a familiar place, close the program, and then open it again. It should then work.