After reading lots of documentation I have learned that it is essential to bake an animation before it can be imported into XNA.
Using blender I studied the blender documention which tells that the "bake" button within the action windows is to be used. However this button has been removed with version 2.46 (according to the release notes) and I could not find a replacement for this button in 2.49b.

So, how can I bake an action using Blender 2.49b?

Have you looked at the following.. http://wiki.blender.org/index.php/Dev:Source/Blender/Animation/AnimationBaking

Glenn, thank you for your response.

Yes, I am aware of this wiki page. The page states that if I want to "Bake arbitrary transformation (parent/constraint/track/path-based) into key framed transformation" (and I guess that is what I want to do before importing it into XNA), I shall press CTRL-L in the 3D view. If I do this I get an error message "Object doesn't have a valid PoseLib". Honestly this doesn't tell me anything.

I checked that the armature of the model is complete and that the model is completely skinned. Having achieved this I thought all that I have to do is bake it and export it in directX format.

Have you tried the fbx format, as the directX exporter for blender does not support animations.

Wotan42:

I checked that the armature of the model is complete and that the model is completely skinned. Having achieved this I thought all that I have to do is bake it and export it in directX format.

I am still using v 2.48 but I would assume that there is no significant change to the animations.

All XNA needs are the keyframes so as long as your animations have those you should not need to do any baking.  As far as I know, you will need to use FBX, not X.  I tried .X with no luck.

The FBX exporter shipped with v 2.48 is no good for XNA.  You need the specially modified one, downloadable from a link on the scripts section of blender.org.  You can use the same one with v2.49b (NOT v2.49a where scripts are broken!)

As I have said in many many posts, look at my web site.  There is a checklist of essential things on that to help export from Blender to XNA.

Thanks a lot for all the replies. I'll give FBX a try and let you know whether it worked for me...

Using the modified .FBX exporter for Blender I managed to animate the model using the animation component library. Ok, the model is completely black, but that's a different story.

Thank you so much guys!