Fbx and obj need to to be converted to Directx (.x) format. There are applications out there that are made strictly for conversion, but most modelling programs will convert between formats. Blender (free) is one of the most popular, and will handle all of those formats pretty well. There are many, many others, which I will not list, as Google is free as well. Keep in mind though that format conversion is not a perfect science from app to app, and there may be additional work at times!
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