Weapon change.

 

Which program should I start with, and what should I do after I get the geometry and skeleton?

If you really want to extract a model from Heroes, you need the Arkhangel program. You can load the geometry into it, then you need to load any DDS textures; otherwise, the export won't work. The skeleton isn't necessary here; you can export in OBJ format.

But I would suggest you first figure out the method of attaching things.

Added 2 minutes later
https://www.moddb.com/mods/homm-5-chaos-theory/downloads/archangel-v0-5-beta
Here's Arkhangel.