If you're using my MilkShape exporter (JT), I think I have a crashing bug if you try to export a DirectX 8 (skinned mesh) model that doesn't have the bones set up. The work-around is either to put your bones in, or save it in the old retained mode format until you are ready to put in the bones.
I hit this myself while fixing another bug, but I forgot how to run the debugger with MilkShape without crashing it, so I couldn't conveniently debug it at that time. I think I remember how to do it now (set the release build mode, but enable debug info), so I'll have another look at it when I get back home next week.
-JT
John Thompson
http://www.jtgame.com/jtedit