In Blender goto File>Import and you should see an option for .dae and .obj. Click the one you want to import and locate the folder where the model is.
Note: If you want to animate the character without having to rig it first, you should import the DAE because OBJ doesn't support bones.
Note: If you want to animate the character without having to rig it first, you should import the DAE because OBJ doesn't support bones.