The map files (.Civ5Map), and map scripts (.lua)* should go to My Documents\My Games\Sid Meier's Civilization 5\Maps. If they are there, you should be able to select them as map type in advanced setup.
Important: For maps with predefined cities, units and/or start locations, to make them work properly, you need to start a game using the Mods menu. Then you'll be able to select them as map type without entering the advanced setup. After doing it, check the "Load Scenario" option. "Load Scenario" won't work when you start the game through Single Player -> Set Up Game instead of using the Mods menu.
Some map files can also be included in a mod, in this case you shouldn't worry where to place them, they should already be in the right place.