1. Make sure you have Python installed , else Blender will only offer the export options of VRML/DXF/STL. Python can be found at
http://www.python.org/download/
2. With Python installed, other export types will be available from Blender, including a .x option.
3. In the script window, select EXPORT ALL works fine for me - note it 'exports all' (duh), even hidden components, etc.
4. If you have an animation, the script has a choice of 'Export animimation' (or similar text) - select accordingly. My animations have been simple, using key frames & the 'ipo curve editor', but sufficient for my purposes (can manipulate play speed / frames in dbo).
5. Pop-up window allows you to add filename/save etc.
The above has all worked fine for me in 2.45/2.48.
Hope it helps.
Design by Trial and eror...and errror...and errorr