Are you sure the map file is in the correct folder? It should be in either Team Fortress 2/tf/maps or Team Fortress 2/tf/download/maps.
Was the map compressed when you downloaded it? If the file you downloaded is a .zip, .7z, .rar, or .bz2, then you need to uncompress it and extract the .bsp, then add that to the game files. You can do that with 7-zip.