Only the mesh? Then:
http://wiki.frictionalgames.com/hpl2/thi...3d/blender
This page has the process quite well.
Referring to the material thing:
Let's say we have a folder called /static_objects/yourwall/. Open the Material Editor and choose the diffuse, normal, specular and height map, and make a material called THE SAME AS YOUR DIFFUSE TEXTURE (lots of people fail here, so I put caps lock).
The folder should look like this:
-yourwall.dae
-yourwall.msh (if it has been already loaded into Amnesia)
-yourwall.dds
///Other yourwall.dds (nrm, spec, height)
-yourwall.mat
With this, it should work properly