About light problem

check the following

Can your caraphic card support light
is there a light in the 3d world
is the light on/commited
has your mesh got normal data
if not then it needs to have some made (look at mesh.generatnormals)
if your mesh is textured make sure the texture is loaded and set the the correct stage ie 0
also make sure you are setting the device material.
you will need to create a material that reflects light

if all the above is sorted then your object will render correctly

I tried to export a 3d model from MilkShape to .x extension and it didn't work
maybe your problem too
btw does anyone here knows why?