as wolf stated, they come in all kinds of formats. Think of these formats the same way images have different formats for different programs, such as gif, jpeg, tiff, PSD, PSP, etc. Essentially every object in a 3d program, whether it be figure, prop, whatever, is a mesh. How you export it or import it is when filetype comes into play. 3DS is native to studio max, obj started out from wavefront, etc. These days most of these are interchangeable with conveters and such within programs like Poser and without.