| Yeah, it's a separate object. Like, you can create a cube and a sphere, and link them together so that one becomes the parent and one becomes the child. 3D models can contain different meshes, and are arranged in a hierarchical structure. So, for example, a model of a person:|
The "root" object might be the torso. You then might have four limb objects, which are children of the torso (the torso is the parent object of each limb). You'd also have a head object, which again, would be a child of the torso.
Models are arranged like this because when you want to move the player, you just move the "root" (torso), and all of the limbs stay relative to it. But you can still address the limbs individually to rotate and animate them.
I'm only familiar with 3DS Max and in that, there is a function which lets you select a mesh, then choose which other mesh you want to link it to (which then becomes its parent).