If you're using already-created particles, you'll need to put the .pcf file in your /tf/particles folder. To put the particles in your map, use
info_particle_system. You do NOT put the name of the .pcf in the particle system entity. Each .pcf contains one or more particle sysems; you'll want to put the name of one of those systems in the particle system entity. The .pcf download page should list the systems in the .pcf, or you can view the list of particle systems in the .pcf by loading
TF2's Particle Editor. Put the name of one of those particle systems in the info_particle_system's "Particle System Name" keyvalue. The last step is to create a
particle manifest for your map, referencing the .pcf file to let TF2 know where it should look for that custom particle system.
If you're talking about actually creating your own particle system...
Good luck...
As per your HUD icon question, I can't answer that, and I'm not even sure if it's possible to create free-floating HUD icons without a mod. Unless you mean control point icons, which is totally possible within the CP settings. It is also possible to
put plain text on the screen.
If you have any questions, don't be afraid to ask.