To replace the Spy hat of your choosing, choose the corresponding folder of that hat you want to replace from the "models" folder, open it, and extract the given files into: 
C:\Program Files\Steam\steamapps[your username]\team fortress 2\tf\models\player\items\spy

Place all "zorro" files (including zorro_normal) from the "materials" folder into:
C:\Program Files\Steam\steamapps[your username]\team fortress 2\tf\materials\models\player\items\spy

*To utilize the paint ability on this hat, you must be replacing a hat that has the ability to be painted!  For example, replacing the Familiar Fez will not allow you to paint this hat; replacing the Fedora, Billycock, etc. will allow paint to work though.

Enjoy!