The new XtoMDL.exe program for FSX is "command line driven," meaning that there's no fancy-schmanzy GUI to use... 

Did you know that you could create a shortcut on your desktop that would 'proxy' commands to another application?  Create a shortcut on your desktop and enter the following for the 'target' (fix up c:\temp to be the appropriate paths to the files):

%windir%\system32\cmd.exe /K c:\temp\xtomdl.exe /DICT:c:\temp\modeldef.XML

For example, my "target" path is:

%windir%\system32\cmd.exe /K C:\Autodesk\Max8\FSX_Tools\xtomdl.exe /DICT:C:\Autodesk\Max8\FSX_Tools\modeldef.XML

You can drag and drop onto that shortcut and a new .CMD window will open and stay open so you can see your results.

As an "improvement" to the above*, rename the shortcut something like "Compile Aircraft" then move the shortcut to your \SendTo folder...

C:\Documents and Settings\User Name\SendTo

...now, in Explorer rightclick on the .x file and select "Compile Aircraft" from the popup menu...

NOTE: The chief advantage of the "Send To" method is that you can have the .x file(s) anywhere you like to keep them, and the compiled .mdl will appear in that same location... 8) 8)

* Thanks to Tom Gibson for this tip!