Creating a Simple 3D Game with XNA/Exporting your models for XNA
Set up your view in two windows as before, and this time for the right view select 'Text Editor'
Then select 'File'/'Open', and open the script referenced in 'Getting Started'. Then, in the left window, ensure you are in object mode, and select all of your models and your armature, then in the right select 'File'/'Run Python Script'.
Change the settings to as follows;
And select 'Export'. Now your models are ready for XNA!