DirectX - Animated Mesh with multiple animations

Hi all,
I am a new user (developer really, not artist) and I would like to say thanks to the devs and community for creating blender.

I am trying to create a couple of very, very simple animated meshes to use whilst I learn DirectX 9 (managed DX).

I have got a (very freaky looking) sheep thing which is animated. I can export this to directX and succsefully load it in my game engine.

What I would like to do is give it several different animations (walking, running, flying) and get these exporting into the .x file.

I have tried looking on the internet, these forums, but cannot find what I need.

If anyone has any pointers, I would be most grateful.