Check out http://www.ldraw.org
Presuming you're using a PC. If not I don't know what software you'd use... basically if you want to LDraw Macs lack most of the necessary software and that handy mouse with lotsa buttons (nicest way I could say something without starting a flame war - and it takes alot of restraint)
They have a download package which contains:
latest version of LDraw
latest version of MLCAD
(which is IMHO the only way to LDraw
latest version of POV-RAY
(which is the rendering program most people use)
latest version of L3PAO which converts LDRAW files to POVs
latest version of LDView which is good for quick views
latest version of a bunch of other utitlities all very useful
So if you download that plus the parts updates made after that package, you'll be all set for software.
Then in MLCAD there's two ways to do it. One is use the "multipart model" functions. The other is to save each to the model directory, then scan new parts to get them on the list, then use the sections like giant lego pieces for the final model.
Then you run l3pao to convert the file to a high quality render you can run in POV-Ray (which if it's a big model will take a LONG time to finish, as much as a day). Smaller models are done in minutes of less.
Alternatively you can use LDView which produces a lower quality render much quicker but one that allows you to pan around and through the model. I often use POV-Ray for exterior shots, then LDView for the inside.
It's all much more complicated than I make it sound, so may be daunting at first... but there's also alot of good tutorials on LDraw.org, and helpful people both on this forum, and the lugnet.com CAD forum.