Where to put plain object classes?

OK I'll admit that I can see from the documentation here:
http://www.codeigniter.com/userguide3/ge...odels.html
that you can certainly load a model without an include or require statements. However, this results in CI trying to instantiate the model. Unless I'm missing something, the documentation doesn't describe any way that I might supply any parameters to the constructor of the Model class. If this is possible, it would be helpful information. If it is not possible, that would also be helpful information.