There maybe easier ways to do this, and there is only one other way that I have seen on the forums but it involves a costly piece of software.
To use this tutorial you will need:
Fragmotion and Blender
Step 1:
Load up fragmotion and import your model. You may need to import the texture separately it all depends on who the model was made by.
File>>import>>Directx
Make sure all your stuff is correct then do:
File>>Export>>MS3D
MS3D is milkshape format, you do not need to install milkshape at all.
Step 2:
Load up blender and do:
File>>import>>milkshape MS3D
MAKE ABSOLUTE sure that it is not the ASCII format
Delete the cameras and such by right clicking the object. It should highlight the item. If you look in the lower left of the render window it will tell you what is selected.
Next you want to do:
File>>Export>>FBX
Make sure that the button all actions is pressed. this should change from a light color to a dark color when done correctly.
Then click Export and you will have your animated directx model converted to FBX and usable in Unity3d.
This tutorial is meant to guide you, if you screw something up, kill a gerbil in china, or just anything goes wrong then you assume all liability period.