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Object creation is very similar in every 3D program, please have a look at the gmax chapter as well. For Blender, we suggest the following tutorials to get started with the application itself: http://gryllus.net/Blender/3D.html
If you are done with your object and are ready to export it, first of all, go into Object Mode and press CTRL+A. Then select "Rotation & Scale". This will apply all your rotation and scaling. It might also be required to apply "Location". Now you can export either as .x or .3ds
To export directly to Pandoras Box simply choose "File->Export->Direct X (.x)". You might have to activate the plugin first (see image):
The Warper, may as well import files saved in 3ds format. Choose "File->Export->3DStudio (.3ds)" to export a *.3ds file. Refer to the following image for the correct export settings: