When placing the Caribbean Conqueror hat model, it has no beard and mustache at all. It looks something like this:
http://i.imgur.com/IqJGRME.jpg (I take no credit for this picture)
And this is really annoying. But today, with a help of a user (Pte Jack), I found out how to fix this problem.


While reading this, you may watch the image guide made by me: http://imgur.com/a/un7GP

Open up Source Filmmaker's main folder
usually at:
C:\Program Files (x86)\Steam\SteamApps\common\SourceFilmmaker\game\tf
or
C:\Program Files\Steam\SteamApps\common\SourceFilmmaker\game\tf

Get GCFscape from HERE[nemesis.thewavelength.net]

Open it up, and click "File" then "Open"

Search for your main Team Fortress 2 directory
usually at:
C:\Program Files (x86)\Steam\SteamApps\common\Team Fortress 2\tf
or
C:\Program Files\Steam\SteamApps\common\Team Fortress 2\tf

Open "tf2_misc_dir.vpk"

After everything loaded, go to:
models\workshop\player\items\soldier\jul_13_the_caribbean_conqueror\

Right click the folder on the left side of the screen, and click "Extract"

Go to your desktop, and create a new folder, named "models"

Extract the "jul_13_the_caribbean_conqueror" folder into that folder created on the desktop.

After this, go to

materials\models\workshop\player\items\soldier\jul_13_the_caribbean_conqueror\

Create a new folder on your desktop again. But this time call it "materials"

After this, you can close GCFscape, and open your 2 desktop folders up, what you've created before, and extracted the needed folders into.

Go back to your main SFM folder (C:\Program Files (x86)\Steam\SteamApps\common\SourceFilmmaker\game\tf), as it was opened before.

In the "tf" folder, go to

models\workshop\player\items\soldier\

and open the "models" folder on your desktop, and drag and drop the "jul_13_the_caribbean_conqueror" folder into the SFM's opened folder. Now windows will ask to overwrite the existing files, click yes, overwrite all.

Now in the main SFM folder again (C:\Program Files (x86)\Steam\SteamApps\common\SourceFilmmaker\game\tf), go to

materials\models\workshop\player\items\soldier

This time on your desktop, open the "materials" folder.

Drag and drop the "jul_13_the_caribbean_conqueror" folder into the SFM's opened folder. Now windows will ask to overwrite the existing files, click yes, overwrite all.

Done! Now you can close everything, open SFM and enjoy.

In the end, our little soldier should look like this:
http://i.imgur.com/XZererP.jpg

(Credit to Pte Jack for helping me.)