I don't know what you are doing wrong because you didn't give me enough information but, what I think you should do is re-read the tutorial and try again. If that doesn't work I will try to help you out but I might not know enough.
After I import the skin and mdx, save, quit and reenter wc3 editor the error message comes up at the bottom of the screen. Also when I place the unit with that model, it shows a checkered box.