In blender 2.6 you need to enable the .x exporter under user preferences. It is pretty straight forward from there, though does get fussier if you add bones/animation. I've posted a few tutorials on doing it over on the 3d chat board as the topic seems to come up every couple of months. I'll see if I can dig up a link when I get home.
Main things to note are, you'll need to set uv and texture images. If you have bones, make sure every vertex is assigned to a bone and every bone has at least one vertex. It helps to 'apply' scale and rotation Ctrl a to the objects base data. The .x format doesn't play well with ik animation modifiers and the like.
