To load a MD2 file, you will need to use the static method Loader.loadMD2(java.lang.String filename, float newScale) which will return an instance of Object3D that will contain all of your mesh data.
For creating a MD2 file, I usually like to create a 3D mesh in either Blender or 3D Studio Max and then import the 3D mesh into another program called Misfit Model 3D. There, I would have to rig the mesh with bones and create a proper skeleton. Afterwards, I would create animations using the bones that I placed and save as a MD2 file.
Blender can be found here.
http://www.blender.org/Misfit Model 3d can be found here.
http://www.misfitcode.com/misfitmodel3d/olh_mm3dformat.htmlI hope that helps~!