Yes, you can modify your model in blender, after importing it from an external file supported by an import plugin (fbx is shipped and enabled by default) See the File > Import menu. Other formats could be enabled through the user preference menu, or even added to the standard blender distribution through separate plugins.
After importing, you should have a regular model as if you modeled it into blender from scratch. An then you can save it as .blend or export it to other formats.
Just keep in mind that import/export plugins may have sometime limitations, due to their update status, sometimes unsolvable differences between different modeling programs, or their own good implemetation, but in general they get better and better, in blender, in particular most widely used ones (as fbx).