I have very quickly gotten out of my depth with Meshes.
The first issue is that you must clearly understand Matices and thier manipulation. The second, and probably the most important is that you need to create your own AllocateHierarchy which manages the information coming from the mesh file. I've found a couple of forums and sites that discuss this but most of them work in C++ and DirectX 8. Eventually I found some DirectX 9 examples but be careful, they are for DirectX 9 and not DirectX9b which is the Summer Edition.
I've temporarly lost my links but when I get them back I will post them.
Otherwise, I'm actually gonna take a break from Animation and finish off my tutorials and sample explanations.