When you create a new project or saving one, make sure to remember which one it is

... put them in the directory YOUR CURRENT project is in. or per say when you load your project, what ever file you LOADED it from is the current project file, meaning it will be in that directory.
The following is more for error prevention, if the model doesn't exist it won't try and load it in.
If File exist("Models\... you model animation file.3ds") then load object ("Models\... you model animation file.3ds")
__________________
On a side note, took me a while to figure it out when i began, mostly trial and error, until you get there.