I suggest you do a search of the forum and also look through the "Share Objects" section. There is a lot of material there addressing your question.

For quick answers - you can either make your own model (Blender will work - personally I prefer Anim8or) or import one from the web - first converting it to .ase format using Biturn.

Also Alice 2.x does not support an articulated model (i.e., one with a skeleton (joints and bones) and a skin. You basically have to break your mesh up into parts and move the parts relative to one another. (You can see this by viewing the Alice models in mesh view.)