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That most likely means some file extensions got removed. Try again but keep an eye on the ones with .dx80, .dx90, and .sw. Try and keep those extensions in when renaming them.

Sorry but you gotta ask the creators for the cosmetic files....

Heya! I'll describe the full process just in case you don't know. To get the Road Captain into SFM, you're gonna need to install it from this site:
http://mods.tf/mods/1685/
Install any of the choices available and it will give you a VPK folder that you can open using GCFScape, which is a software Valve uses on all their files. Drag and drop the materials and models folder anywhere as we will be editing them. Go into the materials folder, delete the backpack folder as that's unnecessary.

Go back out of the materials folder and go into the models folder, navigating through until you reach the inside the 'demo' folder. This will have another folder inside with the name of the item you chose to replace. We don't want it to do that, so rename that folder to 'road_captain'. Go into that folder and name all the files inside to 'road_captain', though beware you'll need to keep the file extensions at the end of all of them. You should end up with 5 files named 'road_captain.vvd', 'road_captain.sw.vtx', 'road_captain.mdl', 'road_captain.dx90.vtx', and 'road_captain.dx80.vtx'.
Once that's done, navigate your way back out of the model folder and cut and paste both the materials and models folder into your usermod, which can be found in your SFM files. The address for it could be something like this:

C:\Program Files (x86)\Steam\steamapps\common\SourceFilmmaker\game\usermod
If you've done all this correctly, you should find the model when searching for road_captain in SFM. There may be an issue when doing this where a section of the model turns out black, that's because the paintable region has been borked by SFM. If it happens, refer to this video which shows how to fix that: https://www.youtube.com/watch?v=2Qwt-cjrvu8&list=WL
You can use this method to import practically any item you see in the mods.tf website. It's basically the main of doing it. If you run into any issues, lemme know and I'll try and help further, but if not then enjoy!