You can import annotated models from BioModels.net database directly via [database] menu. (supported since Ver3.1 -)

Note Cannot connect to BioModels.net?
Check your network configuration. The technology CellDesigner uses to import models from BioModels.net is a simple HTTP connection. It may not work if you have set a proxy settings on your PC (but it may depend on your OS), or the network configuration at your institute.

Note 2009 Dec Error "SBML Level 2 version 3 is not supported"
Recent models in BioModels.net are in SBML Level 2 Version 3 format. Current CellDesigner 4.0.1 can import up to SBML Level 2 Version 1. Please wait for the coming release of CellDesigner to import the SBML Level 2 version 3 models.