I feel you man. Adding/replacing characters can be a headache and a half, especially if you're not familiar with all the arcane lingo involved.
So for starters, it is significantly easier to replace a character than it is to add a new one (complete with their own character select icon, etc). It looks like the thing you want to download is designed to replace Marth. To do that, take all the files that have "Lucina" in their names, rename them by replacing all instances of "Lucina" with "Marth", then copy and past into projectm\pf\fighter\marth on your SD card. This should cause you get the models and animations for Lucina when you select Marth. (however, there are no files in that download for the cosmetics- Lucina icons, sounds, announcer call, ect). I should mention that I haven't tried this myself, but I'm *pretty sure* that will work.
If you want to add Lucia as her own character with her own icon, that is much more complicated. But if you want to put your learning cap on and do some work, look into something called BrawlExPM.