There are many excellent Blender tutorial sites on the web, start off checking out their official site and then Google is your friend.
That's funny, I swear I can see a full list of supported formats at the bottom of the feature list on the official site. Quote from linked URL : Read (R) and write (W) support for many other 2D and 3D formats 2D TGA, JPG, PNG, OpenEXR, DPX, Cineon, Radiance HDR, Iris, SGI Movie, IFF, AVI and Quicktime GIF, TIFF, PSD, MOV (Windows and Mac OS X) 3D 3D Studio (R/W), AC3D (R/W), COLLADA (R/W), Cal3D (W), DEC Object File Format (R/W), DirectX (W), Lightwave (R/W), MD2 (R/W), Motion Capture (R/W), Nendo (R/W), OpenFlight (R/W), PLY (R/W), Pro Engineer (R), Radiosity (R/W), Raw Triangle (R/W), Softimage (W), STL (R/W), TrueSpace (R/W), VideoScape (R/W), VRML (R/W), VRML97 (R/W), Wavefront (R/W), Wings3D (R/W), X3D Extensible 3D (W), xfig export (W) EDIT: Your best bet would be to read this tutorial - link taken from the fine manual.
Less than 10 threads down in this forum you will find this thread which is aptly entitled "LFS renders in Blender..?" - it has the .cmx importer script linked in a post too.