That is actually going to be the topic of the next meeting of the Dallas XNA
Users Group (
http://www.dallasxna.com). The meeting was supposed to be on
February 17th, but it was canceled. Hopefully Rick will speak on the same
topic in March instead. The next XNA Users Group meeting is scheduled for
March 17th, and will be on importing data from SoftImage XSI into XNA.
Different program, but I bet the process will be the same regardless of what
program you use to create the model.
Alternately, you could check out these links from the XNA Creators Club:
http://creators.xna.com/en-US/sample/skinnedmodel
http://creators.xna.com/en-US/sample/simpleanimation
The first link looks more applicable to what you're wanting to do; importing
an FBX file and animating it using the model's bones. Let me know how it
works out for you. :-)