Hi Plystire,
When you join two meshes in Blender, they become one mesh. The Ctrl-j hotkey does that. That explains the single limb. You can parent objects, so that when the car moves, the wheels move with it, but outside of blender, that becomes a little pointless, as none of that data will survive a .x export.
As Sid said, you will need to make a few bones, one for each wheel, and they should be accessible inside DBpro when exported.
Also with the UV thing, you will need to have it as one mesh before you can see it all on the one UV map, but you don't have to join them first. You can unwrap the wheels, unwrap the car, THEN join the two together and you have it all unwrapped, in the one texture. I have done a LOT of low polygon modelling/unwrapping in Blender, and that is how I achieved it. Once you get used to Blender's workflow, you will be surprised how quickly you can churn out good, textured models.
Regards,
Zac
Blender3D - GIMP - WINXP - DBPro