Ok, I have been looking at some tutorials on loading and rendering .X files. I don't know for sure but looks like to me the call to drawsubset()? and using a loop to render the models looks like immediate mode rendering to me? Or is this method to rendering .X models acutally using vertex buffers so the rendering is fast. Thanks for the clarification.

Yes, the ID3DXMesh structure contains a vertex and index buffer. The DrawSubset() function executes the normal DrawIndexedPrimitive() funtion etc etc to draw the buffers.