Basically, what you have to do is use a 3d modeling program such as Google SketchUp, Blender or Cinema 4D (these are my favorites, but only a few) to create a mesh. Upload it to a file sharing site such as 4shared.com. Then go into ROBLOX, press Insert -> Object -> SpecialMesh. Set the type to FileMesh and paste in the URL of the online mesh. Then, if it recognizes the file, the brick will turn into that mesh.
Also, in the folder on your hard drive C:/All Users/Application Data/ROBLOX/ you can see all the asset IDs (such as the built-in meshes and images)
~William
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