1. does the model ahve a skin?
2. does the model have a skeleton
if not then you cant compile it yet
if yes then..
make your reference.smd file(file->export->halflife smd)
then generate a qc file(tools->halflife->generate qc file)
then edit the qc file to your model
then compile it (tools->halflife->compile qc file)
thers more in the middle but yeh thats basically it...
Im going to make a tutorial on how to compile a model cuz ive heard this question like 20 times in 3 days -_- =P