How good are you with Blender? As Robert The Robot said, you have to create a separate mesh for each limb and link them with a parent-child relationship.
The site [href=http://blenderdbc.awardspace.com/]
that code eater is referencing is an old site of mine where I created a Blender to DBC directx with animation export script. However, that version is really buggy! I've since updated the script quite a bit but am not quite ready to release it to the general public.
Attached is an example in Blender of a properly linked and animated character. If you can build your model similarly, then post the .blend file and I can try to convert it for you to DirectX.
Also included is the direct x version of the character created using my export script.
Enjoy your day.