First off, Anim8or does not have a .X export feature without the required
plugin.
This plugin is not completely functional, and your model may not function correctly in FPSC. Besides this, to export click Object > Export... and then change the format to .X.
Now that you have your model place it in your entitybank/user folder and then run
entity maker to get it working in FPSC.
I recommend that you export your models as .3DS or .OBJ from Anim8or, import them in Milkshape or similar and
then export as .X. This will avoid the plugin error.