I've never seen MeshX, but I know Anim8or does static objects fine, but despite its name its animation export does not work. For a nice fully-functional 3d program try trueSpace3.2.
For conversion, the best solution is 3d Exploration.
The only way I've been able to find it is by going to MSN.com, searching for "Essential Gmax Tools", clicking the link that says "Essential Gmax Tools, and browsing through the different tools they have listed until I come across Deep Exploration. There is a link in the Deep Exploration paragraph that is a download for 3d Exploration, which converts the most common file formats.
Crazy Donut Productions, Current Project: KillZone
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