Ok, I think I get it, but Im having trouble in some points.
Go find a model you like. Download it. Look on the page for the path, like for the militia archer (I got this one working, so you try it:
http://www.wc3sear.ch/index.php?p=Models&ID=149&sid=36480220fadea1f9781a956996ce9e63 )
the path would be: units\Human\Militia\PeasantMilitia.blp
So, you go to import manager, import the MODEL (not the icon, that is seperate. make sure it says model under type). Then, change the path to what I said.
When you go into the object editor, that will now be a choice (under, imported). Apply that to a unit, restart world editor and it should work.
Now, if anyone can help ME, i would be gratefull. Some models, say, the pirate cannon, have a list of a bunch of skins. How do you use them all on one model? Im really confused on that.