Well, when I got the error, I would get disconnected from the server I was trying to connect to. Then, when I open up my console, there would be a couple lines that would say something about a corrupt weapon model.
Also, you'll be able to see the weapon fine. The p_ models affect the weapons you see other players holding. So if you deleted your p_ump model, but still have custom w_ump and v_ump models, then you will still see your custom model when you're carrying the weapon and when the weapon is lying on the ground. It'll only appear different in someone else's arms.
And... you're still playing 1.5? C'mon, get with the program. 1.5's out, 1.6 is in. Because you're playing 1.5, it's difficult to install custom skins because you have to back up your entire models folder in case something screws up like this. 1.6 keeps everything in a cache so that even if you deleted your whole Counter-Strike folder, everything would reinstall itself as default straight from your computer.