Modding entirely depends on the game. Some games are mod friendly. Some other don't.
Take skyrim for example. If you want to to add a new weapon to skyrim, first you need to create a new model for the weapon. This is done using external app such as 3dsmax, Maya, or blender. Then, the 3d file is exported to nif format, the format that can be used by skyrim engine. then you open skyrim creation kit, and make a new mod, add a new record for your weapon, and point it to your weapon nif file. Then you must also make a new record for placing your new weapon in the game world.
This method applies only for skyrim. For different game, to do same thing will require a different steps. Unless you make your question clearer or more focused, this kind of general answer is best you can get. At the very least, tell us which Game you want to mod