Okay, now a few more steps. Before you export, select DummyRoot, or whatever your null is named that has everything in it, and freeze the modeling. To do this, look at the top tool bar. There is "file, view, edit, display, modes, and some other icons. Click on the "modes" icon, and three modes should show (there are some other options too, but I havent used them yet). Go to the top one, it is named "Mod Tool". The layout of options should change, and on the right side, there is two buttons under the icon "freeze history". Select your object, all of it, and click "modeling" under the freeze history. Okay, now, above all the X,Y,Z scale, rotate, and transform boxes, there is a button called "Transform". Click it, and a large box of options should pop up. Near the top, is a button called "freeze all transforms". Make sure you have your object, and click it.
Okay, once you did that, try exporting again, as I said before. Make sure you select "selection only". It is in the export window, under the section called "exported data". It looks like you didn't do it before. Oh, and your cube should probably be named "cube" (or whatever you want,) and the file type should be .scn before you export. So it reads like "cube.scn".
.exp and .scn are both file types, so just chose one. I make all my files .scn, so I have not tryed .exp yet. Run MshEx again, and convert it. Hopefully it works this time.
Oh, one more thing. You have to have your object set up right. You should have a null, named "DummyRoot", and in that null, you should have all your cubes. I usually merge my cubes, by using "polymesh/ merge" and put all my cubes under that, and I put my polymesh in the dummyroot. Now, since you are making an object, and not a gun, which is all I made so far, things might differ with the setup of your object.
I'll whip up Oh, and one more thing. When you click export, and the export box pops up, there is a part something real quick though, to see if it is m
Hopefully some of this info was useful.
EDIT, I'll try getting that pic.
EDIt, I got it to work ingame, so if if I explained everything right, you should be able to get it ingame. I can't get the pic right now, I gotta go somewhere, but you just need to middle click on "DummyRoot". It's a null, and everything (your polymeshes) should be in it. Hopefully this helped.