is a loong trip..
1 Make a concept art.. paper and pencil (if you have a tablet is better)
2 Make a "blue print " of your model (front and side)
3 Model or sculpt..
- anim8or
- sculptris
4 Paint or uv texture
- anim8or
- sculptris
5 Rigg, animate and export to direct x
- Characterfx (free)
- Milkshape (commercial)
- Fragmotion (Excellent)
6 Copy your model to user folder in entity bank
7 Make Fpe file
- Notepad
8 Make Screenshot
- Paint
9 Make Fpi file in scripbank
- Notepad
10 add sounds
11 Etc...
but there are the basics steps-.