What version are you using? There is an issue with 2.44 with the import/export options that is being addressed. Try using 2.43 instead which does not have these issues. Also remember that some models import on a very small scale so you may have to zoom in to find them. As stated, the learning curve is steep but extremely satisfying when you start to master it. A good start would be the Blender wiki at http://wiki.blender.org/index.php/Main_Page. I seem to keep the wiki on one screen and Blender on another these days.;-)