Your description is rather vague. "Some"?? Which ones?

Sweet Home 3D supports 3D model files at OBJ, DAE, 3DS format, ZIP files containing a file of this type, and KMZ files.

These are the files you can import directly.
Files in other formats have to be converted first to one of the supported formats. There are websites that provide this conversion service, or you could use a program like Blender .