There are several tutorials on how to make them, but here is a short summary.
1. Download either 3DS max or Maya from
here or blender from
here.
The program doesn't
save to a .dae file, but you'll have to
export it to an .dae file, again, look up some tutorials for your program first.
Get comfortable with the program and make some basic models.
2. You can't create an .mat for your model. All the textures should be in .dds format. 512x512, 1024x1024, 2048x2048, etc. If you open up your model in the modelviewer, it makes the .mat files automatically. The .mat tells the game which maps the model needs (Bump, spec, illum, diffuse, etc.)
If you need anything else, just ask
Edit: