I had this when I first was importing too, in truth, when you import, from this Forum, watch what paths must be customized, .mdx dont need to be customized, but textures, .blp and that stuff must be used in custom path...
Like, I created model, with mdx and some textures, and blp, and guy who created the model, always says what paths they must be placed, when you import usally .blp files are changed to example Units\Sword.blp, or just Sword.blp example, Textures\BloodelfPikeman.blp, you have to modify paths what Creator of that model have placed...
When you you import, importing will set default path warcraft3imported\Sword.blp example, just double-click on imported file in import manager and Enable "Use Custom Path" and place the path what creator of that model gived to ppl...
This is example:
Paths
Import the skins to the following paths:
Textures\Kargath.blp
Defaultly it would be warcraft3imported\Kargath.blp
But you have to change it to path what author of model said, what is example said in that example...
And of course, when you imported, you have to change its compoment paths if specific paths are given (basic easy models who got only nearly .mdx arent needed to specific path), and then restart world editor and thats it...