First you have to go to the import manager.
Then import all of the files that are in the folder, you have downloaded, except the readme file.
Then go into the folder and open the readme file.
Normaly there are the pathes for your model.
Now go back to the import manager and press right click on the imported files and chose "Modify File Properties"
Now click into the gap "Use Custom Path" and now it should be possible to change the path. Now look in the readme file or on the webpage you downloaded the model for the right path and wright it into the gap.
Often you only have to remove the "war3mapimported/".
Do it for every imported file.
Now create a new unit in the Object Editor, it doesnt matter which.
In the right window, somewhere is "Model File". Then make double click on it and click on "Imported". Now chose the .mdx file.
Place the unit in your map, dont care about the green box (it will disappear) and close the worldeditor completely.
Open it again and the model should be properly working.
chilla_killa