OK, so first ask yourself if this is in the scope of being new to blender (I wouldn't start off animating unless I knew what I was doing).

Having said that, I should mention that I might not be the best person to ask about this specific problem since I don't typically do complex bone rigging for animations, but essentially you'll want to look into weight-paint mode for rigging models. It's a huge learning process in itself, and you should look into rigging if you want to learn animations.

This video should describe the basic process, but again it's something you have to learn over time: https://www.youtube.com/watch?v=S0VS0IVylzg

I didn't watch the tutorial, but any tutorial that tells you to auto-weight/auto-rig something is typically wrong. You'll want to do all the weighting manually.

Awesome!

Try compiling the model with a different .mdl name (or delete old .mdl data before recompiling). Also check it out in the hlmv.

Yup, smooth shading.

Well I had you do that originally to make sure it wasn't a texture problem (which it doesn't look like it is). So now that you know, you should make sure the entire model is using smooth lighting (do this from object mode), then uncheck the 30 degree box for the edgesplit and manually add in sharp edges to your model where you think they should be.

Recalculate your normals from within edit mode. Faces can only be textured from one side, and it's more than likely that your model is inside-out.

I think this might be a model error actually. Try a few things: firstly, make sure there are no double vertices (in edit mode, select everything and press "w" > remove doubles). This might remove any hard edges.

Now test to see if the lighting is caused by smoothing groups by giving your model an edgesplit modifier and setting the edge angle to 30 degrees (don't bother marking sharp edges for now, just use 30 degrees and you should be good). Recompile and check.

I don't know off the top of my head, but the easiest way to find out is simply to decompile an existing knife (like YER) and check what bone it uses. Use the program crowbar to decompile models since it works MUCH better than mdldecompiler.

I don't think the pyro has any shoe replacements atm (except one halloween item which I think is just modeled over the default shoes). I don't know if it will be viable to make pyro shoes unless you make a bodygroup for the pyro which would require editing the pyro's model.

Perhaps you can make the shoes as an addition to his current ones. Manually importing won't change anything.