There's another sample for skinned characters, further down in the list of samples.
Note that there's a limit to the number of bones you can use. I seem to recall it is about 56 bones in the sample, although by squashing the bones from 4x4 to 3x4 matrices, you can get it up above 70 pretty easily.
Jon Watte, Direct3D MVP
kW X-port 3ds Max .X exporter
kW Animation source code