Quote: "Now, is a limb a copy off the object-mesh?"
Well, an obect is best to be regarded as a container for limbs. Meshes are always part of the limbs. For example, if you use the command TEXTURE OBJECT, it iterates through all the limbs and textures each of them with the given image.
Quote: "Do 3d modeller-programs have options to make limbs?"
Depends on the export method of the modeller, but usually yes. If you create several meshes in a modeller, each of them will be imported a single limbs. It's worth noting that DBPro will insert an additional limb that is the parent for all other limbs. In my post I forgot to mention that limbs are hierarchical structured. So each limbs may have a parent limb, child limbs and siblings.
Quote: "Is it preferable to export .x files from the modeller including limbs and textures or just 'plain' objects and do the job in DBP?"
That also depends. You will want to uv-map the model in a modeller or different third party program anyway, so first I'd try to load a textured .x file and see how it looks. If it's ok, I'd save it as a .dbo file for future use because .dbo files load faster.
If you want to use blending effects etc, it might be better to load an untextured mode, texture and blend it with dbpro, and then save it as a .dbo file.