1.- For application specific classes you should use Application_Model_Foo as the class name and have it located under "application/models/Foo.php"
2.- If you want to add other namespaces/libraries to your project you could add these under the library/ folder. In the "My_" namespace case you should add it to "library/My" folder.
Here, you can have a look to the directory structure of a basic Zend Framework project:
|-- application
| |-- Bootstrap.php
| |-- configs
| | `-- application.ini
| |-- controllers
| | |-- ErrorController.php
| | `-- IndexController.php
| |-- models
| `-- views
| |-- helpers
| `-- scripts
| |-- error
| | `-- error.phtml
| `-- index
| `-- index.phtml
|-- library
|-- public
| |-- .htaccess
| `-- index.php
`-- tests
|-- application
| `-- bootstrap.php
|-- library
| `-- bootstrap.php
`-- phpunit.xml
By the way i would recomend you to have a look to the Zend Framework Quick Start guide:
http://framework.zend.com/manual/en/learning.quickstart.html