It is best to use the "export" folder. That is where the OE exports the sample objects as .ac files and .bmp files. I assume that you have textured your box object in ac3d and have had the .ac and .bmp in same folder (that is what you have to do). The you have opened OE and are trying to use the "file/convert ac3d file" command.
That is how it should work, provided you have built the hierarchy tree with proper tags inserted for MaxDist etc in ac3d. Then, as a result, you would get a .shp and .htx file into your userlib folder.