Well for you who are new at this, this is how u start:

Unpack/Unzip v_tfc_nailgun.mdl to one of the following folder"its different for some ppl": 

c:\valve\steam\steamapps\YourSteamAccountName\team fortress classic\tfc\models\
c:\program\valve\steam\steamapps\YourSteamAccountName\team fortress classic\tfc\models
c:\program files\valve\steam\steamapps\YourSteamAccountName\team fortress classic\tfc\models

Or simply search: models
in the search toolbar.

If you dont have the map/folder after tfc, create one. You put the v_tfc_nailgun.md from this
.rar in the models map/folder.

Enjoy playing ;)