Blademaster just answered that. When you download a model, it will come with at least the .mdx and a .blp skin file. Often it will come with other smaller .mdx files and skins, which are usually attachments. The main model file doesnt need any specific path. WHen you upload it, it will automatically generate the path "war3mapimported/filename." However, all the other files will need costom paths, such as "Texures\filename" or "unit\human\unitname\skinname." These paths are displaed in dull yellow color on each model page. You have to type those in in the import manager. Then save the map. Then reload it and assign the model file to your units in the object manager. THEN the units will show up.
-VGsatomi