1. Check the poly count of your model, I got that message a few times and It turned out to be my model being +70,000 tris.
2. Check your .x file (always export from your modelling program as text so you can check it later) in notepad, anther reason this can happen is if you try to import an empty model, if the model is empty in notepad you will only see a dozen or so lines of code, whereas if it's ok you will get a couple of pages of code. If it is an empty model then go back into your modeller and re-export it making sure that all of the objects you want to export to .x are selected.