Can't get Textures into the game

I've been trying to get my models to load with textures ingame, but it just isn't working. I'm using blender 2.41 with the latest directx export script from http://xoomer.virgilio.it/glabro1/python241.html
I've even asked for help on blenders forums, but no luck. Has anyone been able to get textures ingame with blender or any other free alternative?
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