The path is always listed on the model's/skin's download web-page, and you need it. If you don't have it, go look it up.
It's really simple, and only can be done in 8 very easy steps:
1. Download the skin
2. Open the Import Manager by pressing F12
3. Import the skin and double-click on it.
4. Click once on the tick-box labelled "Use Custom Path"
5. Change the text in the white bar to the pathing recomended on the web page. (To replace a default Warcraft III skin, simply type in the model's pathing. E.g: If I wanted to replace the priest's skin, I would type Units/Human/Priest/MyDownload.blp)
6. Save and close the World Editor.
7. Open the World Editor and load your map.
8. Enjoy.
Keep in mind the model and the skin must have exactly the same path, except for the extension at the end (Model's have a .mdx extension and skins have a .blp extension, they must remain this way.)
I hope this helped you.