now onto the next question, I personally use Blender, www.blender.org, it works well and it is free. There is a .x file exporter that comes with the latest version but i recommend getting a third part exporter. This one seems to work well as long as you follow the instructions, http://development.mindfloaters.de/Downloads.12.0.html.
And finally welcome to the wonderful world of managed directx. And if you looking for any books to help along the way I fully suggest Tom Miller's books. Nothing better than learning from the man to writes the api.
Thanks a lot...
A similar question of mine was answered here: http://forums.microsoft.com/msdn/ShowPost.aspx?PostID=60925
You have a few options available to you.
If you want to purchase models you can get models from 3dcafe.com or turbosquid.com. If you want to just do programmer art you can use the default shapes in D3DX (Not too exciting).
If you want to create your own objects you can create objects using many programs. Some of the cheaper ones that are usable are Nendo ($49, I think), Wings3d (Free), and blender.
Hope that helps,
Yea Milkshape is the way to go. I am not a "great" modeler, but Milkshape has tools to generate a nice terrain as well as basic 3d meshes like a torus, box, plane, etc...