To make a building, you need some sort of 3D modeling program to create the model (like Anim8or), and you will need a graphics editing program like PaintShopPro to create/edit the textures. The Object Editor is used once you have your 3D Model in .3DS format, to import, set-up and then create the final .WHM (wounded heart model) file for use in Scream Machines. There should be a help file for the Object Editor that explains how to use it called Object_Editor.chm (windows help file).
If you do not want to create your own models, there are tons of free models out there at sites like 3DCafe that may be suitable for whatever you need it. You could just download one, import it through the Object Editor, and you will be all set.