You should make a directory called 'spacestation' and put it in your project directory. Then, unzip and copy the LW_Objects, SS_Scns_LW and SS_Textures (Use SS_Textures_HlfSize.zip for the half res textures!) folders into the spacestation folder. The last step would be to set the Lightwave content directory to your project folder (It probably is already). That way the textures and objects should be found correctly.
Due to the size of the model and its 4k textures, and depending on your system, you may encounter memory problems. You may have to make some adjustments in the lightwave scene to solve this problem.
1) Something you can try is lowering the segment memory so that lightwave will render with more segments.
2) If that doesn't work you can try reducing the number of textures by replacing ones that are similar. The SS_Section1_Body_CLR, SS_Section2_Body_CLR, and SS_Section3_Body_CLR textures are very similar to one another. Maybe replace the last 2 with the first one.
3) This model and its textures were made so you can move the camera close to the model but, you may not need that so I'ave included a smaller set of textures (SS_Textures_HlfSize.zip). As mentioned before, this set of textures will also help save memory usage.