Many people have downloaded Character Skins from the internet which have not come with specific instructions. So, I can help you out a little bit.

Extract the files from the archive that the skin came in. Now, right-click on the 'PK.3' file that appears and use 'Cut'. Now go to your Soldier Of Fortune Folder and go to 'Base'. Once done, you should see a folder titled: 'mp'. Go to the mp folder and 'Paste' the skin there.

The character that you downloaded should now be available for selection.