You need a program like Object Creator or Anim8or that allows you to build and export objects to .3ds format. Then you add them into your ride in the editor with Scenery>Add Scenery Object.
1) build things using the supports in nl (free)
2) build things using a 3ds program (free or purchased)
It all depends on what you want to build and how realistic you want them to look. I have and still use both of these methods to build things for my coasters. If you need help on specific things you want to build there are many people here who can help you.
yes we probably are talking about what you think it is, just search google sketchup and then the first link, you'll find that google sketchup 7 is free.
Cradled by two loving arms that I'd die for, One little kiss and Felina goodbye.
Heads up for SketchUp: The shadows are really funky in the nolimits simulator. If a wall ist hit by the sun it;s almost always completely black. I made a pretty nice station but it didnt look that great in the simulator :/