How can I create my own mesh? For example how can I make a weapon, a chair, a shelf, etc. Do I needan other software ?
For simple objects like boxes you can convert brushes to a static mesh. But it is not recommended, so yes, you need external software. There is a lot of software for that, like Maya and 3ds Max.
Here is a tutorial to get you started:
If you are not interested in making it yourself, you can always buy models online from websites like these: