Downloading and Installing Necessary Plug-ins
The first thing you need to do is to download and install the newest FBX exporter from Autodesk (fbx20091). To download it, use the link below:
http://usa.autodesk.com/adsk/servlet/index?siteID=123112&id=6839916
You'll also need the Panda DirectX Exporter Plug-in*. To download it, use the link below:
http://www.andytather.co.uk/Panda/directxmax_downloads.aspx
*To install the Panda DirectX Exporter Plug-in, just put the file, "PandaDirectXMaxExporter_x86.dle", in your 3ds Max plug-ins directory. For example, C:\Program Files\Autodesk\3ds Max 2008\plugins
Exporting to XNA
Before exporting your model, be sure that it has been put in the grid centre of your 3ds Max, because your model's pivot will be defined by its position in relation to the grid centre in 3ds Max, so if it's out of the grid centre then it's going to make the translation movement when it turns (Fig.01).

Fig. 01
Open your model to be exported in 3ds Max (in this case I have used 3ds Max 2008).
The Unwrap UVW modifier must be collapsed into your mesh; the model to be exported can only contain your mesh, bones and "skin" or "physique" modifiers (it works with editable poly or mesh).
With your model ready and animated, click on File > Export and set a name for your file (remember: the fbx exporter will only export the animations that appear in your timeline).
In Presets, set your current preset to "Autodesk Media & Entertainment" as shown in Fig.02.

Fig. 02
Click on Advanced Options, then on FBX File Format and set the FBX Version to: FBX200611, as shown in Fig.03.

Fig. 03
After setting the configuration, click OK and wait for your fbx export work.
After finishing that step, click on File > Reset to reset your scene. Import into 3ds Max your FBX model with the default import configurations – you don't need to change anything.
With your FBX model already in your scene, it's necessary to add the texture again for the Panda export to save the texture path, so add a new material to your model with its texture. After that, click on File > Export, select the Panda Exporter (Fig.04), give a name to your model and then click on Save.

Fig. 04