Right.
Maya, especially the new version, does not support .X export.
You need to download Milkshape.
Then go to
window --> settings and preferences-->plugin manager
and turn on .OBJ export.
Export your model as an OBJ and import it into milkshape, then export from there as a .x
BUT here's your biggest issue.
Your model isn't textured yet! You just have different materials to each bit of the model.
You need to UV map the model so that all the parts of the mesh share 1 UV map and 1 material.
Hope that helps. Also, if your version of maya is legal, I'd downgrade to 7.5 or 7, it's much more stable for making stuff for games, alot of plugins aren't supported above 7.5.