goto the Microsoft website and download the Direct x 8.1B SDK Extras which is pretty big (bout 40Mb i think) but it has the export plugins for Maya, 3D Max 3&4 and others. If u cant then try to search the net for the dx 8.1B export plugin and eventualy u should find it.
When u export a 3d file to .x change the export option from binary to text and don't change any of the other options cos for some reason it will crash. Then it is done! a 3d model with bone base anim!!!
The .x export wont work with 3dsmax 5 but it works great with 3dsmax 4 (dont know bout 3dsmax 3)
Don't export to 3ds cos its crap and doesn't support bone based anim.
Once you start down the Dark Path, forever will it dominate your destiny...