Did you copy it into your esf/maps folder?
Most files you download will be in the .zip or .rar compression formats, use WinZip or WinRAR respectively to open them. (WinAce is also a good program, it can open both .zip and .rar files, along with many others)
You'll have to extract the .bsp from the downloaded file first if that's the case, then put it in your maps folder.