The prop you downloaded didn't come with some instructions? Hopefully it did, because the paths involved in a custom prop can be very important.
But typically, you'll put all the model files in your Team Fortress 2\tf\models directory. The prop's material and texture files would go in the Team Fortress 2\tf\materials directory... sometimes under their own subdirectory. The things is, I couldn't tell you what paths the original compiler of the prop designated. If you get the directories right, you should find the prop among your available props in Hammer after searching for its name.
For simple custom textures however, the process is easier. Open the .VMF file in Notepad and look at it. In the line that says "$basetexture", it shows the path for the texture. if that path is just one word (like just "ammocrate") then the files go in the Team Fortress 2\tf\materials directory. If there's something more--like "items/ammocrate"-- then the files go in a subdirectory, like Team Fortress 2\tf\materials\items.
And by "files" I mean .VMT and .VMF files, which are necessary for a custom texture.
