welcome to the forums!! have a https://lh4.googleusercontent.com/_t3XWXRQI5wI/S5G03XQZSsI/AAAAAAAACWU/QRhyBfs1ihI/FishyStick.jpg!
unfortunately you will have to use either 3d Studio Max or Blender to import or export models. fallout 3 (and NV) use the NIF file format, and those are the only programs i know of that have import/export scripts written for them.
if you use blender, you should be able to export your model as a .OBJ and import it in blender. from blender, you might have to clean up your mesh a bit (the OBJ import is never perfect) and go from there. the process for max will be the same, just export your model as .3ds. you will also need another program called NIFskope to make sure your model is set up properly.
a word of caution about weapons though:
you will have to use the weapon hold, attack and reload (for guns) animations that already exist, as creating new ones are a very difficult process. creating new swords shouldn't be too hard though, as you only need to worry about the placement of the weapon in your modeling program.
ps
i use blender, so my knowledge of modeling begins and ends there. others here on the forums will have additional input on other programs.
if you use blender, you will have to use 2.49b; scripts have not been developed yet for the 2.5x version of blender (afaik the scripts for blender are still in active development).
you're also going to need python, pyffi, and nifscripts.
if this all seems like greek to you, that's because it is
. getting started with blender can be a chore, but once you are up and running you are good to go. you just need to learn how to use it.... which is a whole other can of worms....