I downloaded a couple like a basic sword and it opens in MED just fine but what do I do to export it to WED?

You don't have to import it into WED. Save the file as a MDL file, and then load it into WED by choosing "Object>Add Model" from the menu bar. This will allow you to locate the model anywhere that you want it.

Cheers!

It does not work it just shows up as a red box no matter what I do in WED no textures or anything!

Also when these objects are loaded in MED there is no textures like a sword that was blue and red is just nothing and the shape of a sword how do I get the textures to load?

Depending on which dx dll's you are using in WED, you will get different results (in WED views). however, when you run your level, everything should be just fine

Make sure the model is saved in the same directory as the level. That should fix the red box issue. As for the colors, if you imported the model from a different format, you will probably have to "skin" it again. Read the manual for basic skinning techniques.