If you use 3ds max, look at the bottom of your screen, there's a button for the animations : try to position your object in differents positions in a few frams, and play the animation
If you use MilkShape3D, it's a bit harder. You have to make the squeletton of your personnage with joints. when it's done, press the animation button, and then it's harder :
when your frame is completed, you have to fix it, so press CTRL + K ; after that, you can go to the next frame without losing the animation.
when your squeletton moves, you have to "glue" or "attach" the limbs of your 3d model on it : at the right of the screen, click on "Joints" ( not to create a join, but to go to the joins's menu), then choose the join on which you want to glue a limb. when it's done, click on "Groups". Select the object that you want to glue on the joint. When it's done, go back to "Joints", and click on "Assign"
if you use another programm, I cannot help you :/
I'm following John, but I'm not john.
Lol, it is funnier in french