From this page:
When you import a PSD file into After Effects as a composition and that PSD file contains a 3D object layer, you can choose to make the layer a live Photoshop 3D layer. If you don’t choose the Live Photoshop 3D option when you import the file, you can convert the layer to a live Photoshop 3D layer in After Effects by choosing Layer > Convert To Live Photoshop 3D.
There is a lot more on that page you should probably look over.
What Szalam said... If this doesn't work, then your graphics card may not be qualified. It needs to support OpenGL in AE and PS properly.
I have looked over that page, and I am begining to wonder if it's my graphics card because I have followed tutorials using the same 3D models as them and it still doen't work. I am running a nvidia 8600 GTS which is a decent card.