If you can import each part seperately and parent them together as a prop you are part way there. 

If you have that go into "heirarchy editor" check that everything is parented correctly and press the button near the botton thats "make figure" (or something like that)

By correctly I mean hand>forearm>shoulder>chest>hip like that.

You will find your new figure in the figures library under New figures.  You then have to turn bends off, and adjust the pivot points using the joint editor.

 

There should be a tutorial on making figures , try DrGeeps website.