High-level steps involved in creating an MLO. This isn't a click-through, as the tooling changes frequently. The process itself remains constant.
Step 1: 3D authoring
Model the interior geometry in 3ds Max or Blender. Walls, floors, props and a custom lighting rig. UV map the textures.
Step 2: Export
Export the geometry to GTA file formats - YDR for the drawable model, YBN for collision.
Step 3: Wire into the map
Use CodeWalker to drop your MLO into the game world. Place the portal that links the outside door to the interior space. Tag the interior.
Step 4: Test and iterate
Load up the modded game and test entry/exit, lighting, sound etc. Iterate as needed.