if you open the .x file with notepad, you'll see that there is a texture and location inside of it. when you load the model without using "TEXTURE OBJECT" it tries to use whatever texture is inside the .x file. If it can't find it, it just shows up black, i believe.
A while back, I was messing about with the .x texture locations, and was changing it to find textures up a directory and into another. ( I had multiple textures on one model, and wanted to keep it this way) I forget how exactly it looked, but was something like: "./Images/Img1.dds"
My green thumb grew the tree my Trojan War horse was crafted from. With roses in our pockets we rally round the tombstones. Ashes to ashes, we all fall down.