I am trying to import an FBX file from Unity into Blender. Does anybody know how to do that?
File > Import > FBX (.fbx)
Then browse for the file on the next screen, select it, and click Import FBX. The model should then be loaded into the scene.
If you can't find the option to import FBX files in the file menu, you may need to activate the addon. Go to User Preferences > Add-ons then search for "fbx" and activate the relevant extension.