Look in your ESF folder, you should find a folder called Models. You'll find all the model files in there. When you download a new model, something like "ssj2gohan.mdl", and you're trying to replace the present SSJ Gohan with it, just go to the folder "ssjgohan" in ESF/Models and replace the present file with the new one. Then change the new file's name to be the same as the old one.
It won't work if it doesn't have the same name as the original file, you'll have to alter that yourself. Also, you might want to place any models you replace in a folder somewhere on your PC, just in case you ever want to put them back without reinstalling the game.
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*coughs* Totally didn't rip FF|Skyrider's answer half-way down the Newbie page.. )