cd is short for "change directory". The QC provides the folder, the DMX/SMD provides the filename.

The error suggests that you're exporting the hat on its own. You'll need to group it with Alyx in Blender so export puts both of them in the same file.

Is your VMT in the folder materials\models\weapons\c_models\slicker? Does it match the name of the Blender material?

Also, the VTF path looks very wrong. It should be something like "materials/models/weapons/the_slicker-phys". I don't think the engine will load materials unless they're in the materials directory.

LightmappedGeneric is the shader for static BSP geometry. You want VertexLitGeneric.

Post the contents of your VMT file.

You'll need to put the VMT and VTF in the same folder as the existing Alyx materials. Make sure that the filenames match the material name used in Blender.

Only material/texture names are exported. It's up to you to create the VMTs and VTFs and put them in the right folder.

I can import it just fine. Does the console (Window > Toggle System Console) say anything?

Please upload the SMD somewhere.

Have you tried using the Trianguate modifier? There might be a setting in there that fixes this problem.