Gecko animation looks very nice
As far as I know, all animations and models are stored in .X files (you need
this plugin to export it from 3Ds max), but each have a separate file. This means, that there's a file with model and a file with each animation separately. And also you should set a mob animations in _VBMob.fo3d (in SDK, ofc)
If you're using blender, you probably have another way to export it, but also you can do it this way - export from blender to .FBX, import it in 3Ds max 2010, export it to .X from there. All animations should work after it (in theory).