You need art assets. Textures, models and animations. Sounds and music also if you want.
Models must be in FBX file format for that is the only format the engine currently supports.
Textures can be any image format except a few.
You just drag and drop these files into the leadwerks engine and it will automatically import them. Then you can create materials from the textures to assign them to brushes or models. Models can be dragged and dropped into the scene as soon as you import them.