I've been using Milkshape for quite some time and you can export .x animation with it, but you must follow some rules-
1-Before animating, make sure you un-check the [operate on selected joints only] tab.
2-Make sure you have the latest version (v.1.6 i think), and use the 8.0 exporter for DB Pro.
3-Finally, .x hasn't supported mesh deformation for me yet, so only assign groups of verticies to bones.
Hope that helps! If not, I'm sure you'll be able to find some tutorials concerning these matters, as Milkshape is a popular package. (Try going to the Homepage for tutorials)