Photoshop does not do 3D modelling, but you can use Blender, Maya, Autodesk 3DS Max, Sketchup, Wings3D, and more to make OBJ format files.
The examples I sent should work out of the box, with the 3D Models one showing a simple diver who can move around with arrow keys (if not, make sure it's all extracted from the ZIP into a folder, and that the .cap file is outside of the models folder!).
Hope that helps!