As Syncromesh said, FBX import is only partially implemented, it's more a beta of the feature, Lee has only added the most basic, static features, no animations etc. 3DS import should work fine though.
As to the error message, i'm not sure how it works with other modelling software, but whenever i've had that message it's been because when i export it from blender i have forgotten to highlight and select all parts of the mesh before export and i've created an empty model file by accident. Check to make sure your model has all it's objects in it and nothing's been missed out.
i5, NV960 2GB, 16GB memory, 2x 2TB Hybrid, Win10.
i3 , Intel integrated graphics, 6GB memory, 512GB Generic SATAIII Win8.1.
Intel Celeron (duel Core), Radeon integrated graphics, 4GB memory, 180gB Generic SATAII, WinVista.
Q6600, Intel integrated graphics, 8GB memory, 512GB Generic SATAII, Win7.
