i export from Studio Max 5.x and 6.0 using the DirectX eXporter Beta 1.0 from the DX SDK Extra's 8.1 and 9.0
worked fine for me. the only trick is you have to compile them specifically for the version of Character Studio you use.
They work just like any other exporter does after that,
model -> rig -> animate -> export
no special trick to it at all
However DBP doesn't support spline animation, so bare that in mind.

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