Yes, you need a program like the fore mentioned, but also Milkshape, because at this present point in time its the only one that can export as a CMP file (using a plugin). You can download Milkshape, by going to
here. There is an excellent tutorial by Drizzla on making ships, but he uses G-max or 3dsmax i think, which is free, and then imports it to milkshape for conversion to CMP. Milkshape has a fully funcioning 30 day free trial, and only costs about 20 dollars to buy, which is WELL worth it. However, try the tutorial (contains links to software) and build a ship. Once done then get milkshape so you can make the most of its free trial