Can't open script file: 'INSERT_NAME.wdl'

Actual it is trying to load the template, when it is throwing those errors to you.

Now select Object / Add Model, and pick the guard.mdl from the list. Note the blue guy appearing in the window. If you just see a cube, you can get him his real shape by selecting File / Preferences / Advanced and check Display Entity Shape. Place him so that his feet touch the floor. If you like to, you can rotate the him to face the right direction. Now, with the model still selected, click right and select Properties. Here you can assign various characteristics to the model (see below). If you check shadow, the guy gets a cool dynamic shadow which gives more realism to the whole thing. Click onto behavior now and pick the player_walk action instead of the non defined action (ndef) out of the action list which comes up by clicking the folder symbol (if you don't see any actions in the list you have forgotten to create a script), and then enter a 1 into his Skill1 field.