Alright, im gonna do an example here.
For this example im gonna use illidains lovly MLRS model.
http://hiveworkshop.com/resources_new/models/2973/
Notice how under texture's, one texture is red.
Textures\MLRS.blp
We will need that for later.
So download the model, there should be 2 files, an MDX file and a BLP file, export them where ever you want, it doesnt matter.
Now open World editor.
Go to import manager.
Right click and press Import files, now find your files and import BOTH the MDX and the BLP.
Now, right click on the BLP file. (It should say next to it Image/Texture)
CLick on modify file properties.
Erase the War3imporated/ thing
And give it this name.
Textures\MLRS.blp
NOW FOR THE IMPORTANT PART.
SAVE world editor. And exit it. Do not give the model to any unit YET.
Now re-open world editor, give a unit the model.
TADAHH!!