If you're just starting out, I suggest pulling up this page: http://www.hourences.com/tutorials-ue3-modeling-1/ and reading through part 1 and part 2, and then keep this page bookmarked as more and more questions come up: http://www.hourences.com/tutorials/. It looks as if you're just beginning and that's great because there's a lot of information out there for you and it's a pretty fun rabbit hole to dig down into. Also, keep this page bookmarked: http://wiki.polycount.com/
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darksandstorm: Are you looking for how to create 3d models, how to import them, or how to use existing ones inside of UDK?