A lot of maps will come with a readme file, but if not, any .FHO, .FHM, .FHS, and FHW files go into exports. A lot of your .png files will go into media>terrains>textures or just media>textures. Objects in the objects folder, materials in the material folder, particles in the particles folder, sky files in the sky folder, etc. It's actually pretty simple, even though I made it sound so stupidly difficult it isn't even funny.
After you're done there, if done correctly, the portal will show up in Cape of Distant Worlds, as Regularities pointed out.