There is a tutorial in the MrBayes manual on-line. There is a manual for version 3.2, but v 3.2 is not yet released.
To use the Modeltest server, do the PAUP analysis first, and then feed your likelihood scores file to this server.
You can run jobs on the PHYML server if it is not too busy. You can get the binaries and manual here also. News: there is a new main version of the PHYML server, and other versions of phyml nearby.
There is some good documentation on the PAUP main site at csit. The FAQ is good. Get the Quick Start tutorial (pdf) and the command reference there also.
Convert sequence file formats at the readseq online sequence format conversion server.
This site has built versions of MrBayes for the Mac (fat -- PPC and Intel) and PC.