importing model files

Can anyone tell me if it is possible to import game models ( such as CFS aircraft ) into either GMAX or any other 3D program?
If so, how the heck do I do it? I've tried everything I can think of.
If you haven't guessed by now, I'm pretty new at this!
If so, how the heck do I do it? I've tried everything I can think of.
If you haven't guessed by now, I'm pretty new at this!