3D Studio Max with .X files

I've tried the pandasoft exporter, and the SDK exporter, but both of them give me the same error.

I created a box, added a gradient texture, then exported it, but when I try to load it in the game, I get an error:

Code:

//Loads the cube.x file into the meshbuilder.
	if (FAILED(MeshBuilder->Load(cubename, NULL, D3DRMLOAD_FROMFILE, NULL, NULL))){
		MessageBox(NULL, "Error: Could not load the cube. Maybe the file could not be found.",
		"Error!", MB_OK);
		return NULL;
	}

Thats a little function I made, it works fine for other models that came with the SDK, but when I try and load a model from 3DS Max, it gives me the MessageBox.

Make sure the X file version is compatible with DX9 or with the version of the DX SDK you are using. The X file format changes from time to time which unfortunately breaks past versions - even though it's not supposed to.

http://www.andytather.co.uk/Panda/directxmax.aspx

I use that, and it says it supports DX 9, which is the sdk I'm using.