The models that you download don't add new characters to the game. They replace the models that are already there. So the SSJ4 Goku model would replace the SSJ Goku model that is in the folder already.
Right, to model replacement. To change a model to a downloaded one you go to the player models folder and replace the original models with the downloaded ones. For example. The Bardock model is a Goku replacement so the zip/rar file would contain Goku.mdl and SSJGoku.mdl. So you go to "Steam\SteamApps\[USER NAME]\half-life\esf\models\player" and then go into the Goku directory and remove/rename it. Then you move the downloaded goku.mdl into the the directory. Do the same for the SSJgoku.mdl in the SSJGoku folder. Now if you did this right the next time you load ESF and pick Goku your character model will be Bardock.
EDIT: Don't worry, it's much simpler than it sounds. ^^"