Yeah, this happens when you don't export it properly. There is a thread at the top of the forum that deals with it, but I think I may need to update it.
I haven't exported a .X animated file in a while, but as far as I remember, there are a few things you need to do...
1) make sure you have the blender window split into two, with both as the 3D preview. Don't ask me why this is needed, as I have no idea lol.
2)Make sure the model has had its scaling/rotation/position reset. That means select the model and press "ctrl-a" and click. You may need to re-rig it.
3)Make sure the bone has at least one keyframe. Even if it does nothing, just keyframe it. Press "i" and select any of the transform keyframes (rot/loc/scale)
When you export, you will need to select the "Animated" button, and potentially the "flip y" button I think. That changes the system from right-handed to left...or the other way around. Basically it just defines which way up the model is. I know blender and Dbpro are the opposite hand.
I hope that helps you! Worst comes to worst, read the thread at the top of the board, and you may glean some more from that. If it doesn't work, keep trying till it does, and remember that method!!
Greenlig
Blender3D - GIMP - WINXP - DBPro