Half of baking work went o.k.

I convert my wed-model to fbx, then I convert fbx to obj and I import obj file in Blender.

I adjust default light and I do Render->Render Current Frame just for fun: Everything is there from textures to shadows.

Then I try Render->Bake Render Meshes->Full Render and Blender displayed error: No images found to bake to.
… so I select model and do the same Full Render- Blender goes crazy and all black???

Is there a tutorial about this Blender-baking thing… or maybe if it’s not really difficult someone can just tell me few important steps…?

Thanx...