Which entity maker are you using?
If you are using the original or the one I windowed, you need to move the files from the entitybank or entity folder to your files/entitybank for fpsc.
You need to make sure that you have the files in the proper place for it to work in fpsc.
Also after re-reading your post, the program will only make a fpe file and bitmap. The x file needs to be made by you and placed in the proper file.
If you have the x file in the entitybank folder and not in the entitybank/user folder you will not see it. Look back through the files and see if it is in another folder.
Now if the program is reading the x file and then deleting the x file upon export of the fpe, that is another problem entirely. If this is your problem then you may need to download the entity maker again as there might be a bug in the code.
Attached in my version of the entity maker that was included with the last few updates of fpsc. With the version all you need to do is add your entity x file and texture to the entity folder and start the program. A window will popup and follow the instructions. When the program is done you should see that in the entity folder is you x file, texture, fpe and a bitmap.
If you are still having problems you might run your anti virus and scan you computer. I also want to point out that in windows 8 you may need to change the permissions to admin.
Still having problems, upload the file or send me the x file and I will make it fpsc ready for you.