Are you using Cool3D 3.0-3.5 or Cool3D Production Studio?
Cool3d 3.0 or 3.5 can only output to bitmaps,flash and video formats. Only the production studio version can export to a 3d object format. If you are using the Studio version, then export the object as .3ds or .x. The directx 3d file (.x or just x) is what you will need for fpsc.
Just to note:
There are 3 variations of an x file. 1)Text, 2)Binary and 3)Compressed Binary.
At this time the fps program only accepts No.3 - Compressed Binary for characters and No1.Text for props and stuff. (Someone correct me if im wrong)
If the program you are using can't do that, as long as you can export it to 3ds or the other types of x, you can find some convertors or nice people on here that will do it for you.
Sorry if that was too much or unclear info, as for the late replies, well some of us live on the otherside of the planet.