You make models with a special 3D-Modelling program,
the best program is i think 3DSMax, but it's very expensive.
I'm working with Milkshape 3D, others prefer GMAX (free tool).
I suggest start working with the "Oinkerwinkletools" free downloadable tools, used to modify ingame models (eg. removing parts, like weapons from them) or transfer the animations, or make for example a footman with the head of a knight.

lol
There are many tutorials here at hive workshop, but also tutorials on the web page of oinkerwinkle tools.
http://www.oinkerwinkle.com/tools/index.html (OinkerWinkle Homepage)
You will also need the WC3Viewer or Magos Model Editor (I prefer Magos)
to extract the ingame models from the MPQ Folder.
You need a MDLX converter, too, for converting .mdx (Warcraft-Format) to .mdl (Oinkerwinkle-Format).
You can find all these tools in the tools section of HiveWorkshop:
http://www.hiveworkshop.com/forums/tools.php
Greets chilla_killa