It's a bit confusing how to use the heightmap feature, so here's a short howto.
Usually a downloadable hightmap comes in one of the standard compression formats, .zip or .rar. So no trouble with this.
In the TF main folder you should find a folder 'maps' since v7554. If not, create it.
- unpack the downloaded map to the mentioned maps folder
- you will find a new folder with the name of the downloaded map (e. g. Hovestaden_4k) and the files info.lua and heightmap.png.
- move info.lua and heightmap.png into the new folder and there you are
Now you can select the map in the 'new game' menu
Hope this helps.