how do put items in the game ?

ex . if I wanted to put a pyramid in the game and wanted the character to go inside where do I find 3D objects to put in the game and how the make the character go inside.

http://unity3d.com/learn

this is a great place to start learning.

to answer your question more directly, you would need to either create your own 3d models using blender

or some other software

and then you can import that to unity, and then you would need a character controller to actually move a player around and "into " the pyramid or whatever it was you created.