I'm not an expert on HPL3 (I'm fluid in HPL2, which is simillar).
Firstly you should import the model in ModelViewer and see if it renders correctly. There's no point in making the entity if it doesn't.
Then, what you most likely need to do is open ModelEditor -> import mesh and then work on the entity in there.
Some basic information about it can be found here:
https://wiki.frictionalgames.com/hpl3/engine/entities
Making characters is a long process, so probably someone on the server can help you more than me. Here's an invite:
https://discord.gg/PjMCBN
(Keep in mind that it's valid for only a one day)