National Champion Shirts
So, your rider just won a National Championship, and you don't want him riding around in the standard shirts. National Champion Shirts are being made pretty much on a daily basis, so the chance of finding one for your team (if it's a real one and not a custom one, that is) is quite large. When you've found it, convert it as described above.

Now, the naming depends on the team's code and the country. If Columbia's still the example, the first part of the file name will be thr_maillot_xxx - with xxx being the country code. In most cases, these are quite logical, eg. Great Britain's country code is gbr, Denmark's is den, France's is fra (if you're in doubt, ask in the forum). So, if you're adding a British National Champion Shirt for Team Columbia - HTC, the file name is thr_maillot_gbr and should be placed in the same folder as the 'normal shirt', Computer -> Hard Drive (often C -> Program Files -> Cyanide -> Pro Cycling Manager -> CM_Textures -> cycliste -> team -> thr.

For World Champion Shirts, the abbreviations to be used are thr_maillot_world for the Road Race Champion and thr_maillot_world_itt for the Time Trial Champion.