I have dabbled in Map making but never got anywhere, however I'm not going to give up, so was trying to make a custom object to use in the Editor but failing.

I have Sketchup, 3DS Max, Paint.net.

I made a small cube in Sketchup, no texture and loaded into 3DS Max, then used an exporter to make it .x filetype.

Where would I put this file? Do I need to make an .xml for it and what would go in there?

It's just beyond me at the moment.

If I was you, I'd reference some other custom objects. Yes, there needs to be two xmls. and one .x file, but to get the model to work within ST you have to meet certain parameters. I know one for sure is that you need a cdt for every model.