I downloaded a library from the internet and I want to create a new PCB component using the ones in the downloaded library with little editing/changes (such as the footprint). Is that possible? How?
As @The Photon has already pointed out, you can copy any component from any library (PCB or Schematic) into your own library to modify them as you like.
Open the libraries
Copy the specific component from the source library
Once you have the component on the clipboard Paste 1 Components option will be available
Finally, rename the copy
And after these steps you can edit the component in your own library.