In the World Editor, click the Import Manager (1) button to start it.
You will see a blank table with some buttons. Click the "Import File" (2) button. A folder menu will appear, from which you select the file you want to import. Select the file and click "Open".
Now the file is in the table, marked. Double-click it and a menu will pop up.
You see a disabled (gray) field with "War3MapImported\File.omg" (5). (A file "File.omg" does not exist. I write it to show you that you can import any file with any extension.) Now under the field, you ca see a checkbox (4). It says "Use custom path"is unchecked by default. Check it to enable the field and modify the file path. This mysterious "path" is actually the value in the field (5), which records the file in a specific directory in the map. By typing the path, you define where exactly the directory is. The icons, models and skins here uploaded at the Hive have a custom path that you must type correctly so the file functions in game.
Here's an example. I have imported a Demoness model in my map. It is "Demoness.mdx". When I import it, the import manager gives it the path "War3MapImported\Demoness.mdx". I delete the "War3MapImported\" and change the path to "Demoness.mdx".
Hope I've helped, if not, I'm ready to do further.