I'm assuming you used Guesst's MS3D Exporter
(link). Be sure to run zero joints (although, I don't know when you're supposed to run it for models that already are animated).
Alternatively, you can try saving as ms3d and importing it into Magos' model editor. (File -> import), then save it as MDX. I don't know if it preserves animations; it is worth a shot though.
P.S. I'm moving this to the modeling forum, since this is more appropriately classified as a modeling issue.