Here are the basic steps for Biturn. Note that this won't get you a texture (apparently .ase import to Alice doesn't support that)
and that often you get errors - in this case not too bad but the head is slightly goofed up from the original.
Also, there is no hierarchy to this particular model, which is fairly typical.
1. Load your original file (.3ds in this case, .obj tends to work better, .lwo works most of the time.)
2. Preview the file (usually happens automatically).
3. Select the output format -.ase - and the path for the converted file to be stored. Then click on convert.
4. "Conversion complete" will be indicated when the conversion is complete.
The resultant file can then be imported into Alice and stored as an .a2c file. (Both the .ase and the .a2c models are in the .zip file.) There are several other posts in the forum on how to move the output into a gallery or other location.
Sometimes the model will come with a separate texture in .jpg or some similar format - that can be imported just like any other texture.