Here is Eric's example, changed around a bit. Since you cant UNZIP a file, I have included three attached files here. Save them to a clean subdirectory on your computer. You will have to rename two of them to get rid of the ".txt" suffix. This web site will not allow uploading of files with .sub or .asy suffix, so I had to use the work around of adding the .txt. You really should fix your ZIP installation because almost LTSpice models exist in .ZIP format.
The thumbnail is a screen shot showing all three files open inside LTSpice, and also includes an Attribute window which opens if you click on the LM317 symbol in the Schematic window.
The first attached file is an LTSPICE schematic:LM317Test.asc which includes an LM317 symbol. Provided the other two files are correctly placed in the same subdirectory, this will simulate.
The simulation subcircuit model of the LM317 is contained in the second attached file LM317.sub. This is a text file which can be opened using LTSpice's Text (or any other) editor. After saving this file in your subdirectory, rename it to get rid of the .txt
The graphics and attributes of the LM317 symbol is defined in the third file LM317.asy. It was created using the LTSpice symbol editor (similar but distinct from the Schematic editor). It can be opened and viewed inside the Symbol editor. After saving this file in your subdirectory, rename it to get rid of the .txt
If you successfully down load three files, and renamed two of them, you will have a running simulation which includes the LM317 and shows how well it regulates...