Hello malyczolg!
It's easy:
1. You have to look on your .XMODEL_EXPORT file, down you can see this:

Code:
NUMOBJECTS 1
OBJECT 0 "Mesh"

NUMMATERIALS 1
MATERIAL 0 "yourmaterialname "" ""
COLOR 0.000000 0.000000 0.000000 1.000000
TRANSPARENCY 0.000000 0.000000 0.000000 1.000000
AMBIENTCOLOR 0.000000 0.000000 0.000000 1.000000
INCANDESCENCE 0.000000 0.000000 0.000000 1.000000
COEFFS 0.800000 0.000000
GLOW 0.000000 0
REFRACTIVE 6 1.000000
SPECULARCOLOR -1.000000 -1.000000 -1.000000 1.000000
REFLECTIVECOLOR -1.000000 -1.000000 -1.000000 1.000000
REFLECTIVE -1 -1.000000
BLINN -1.000000 -1.000000
PHONG -1.000000
That means, that the model has got only 1 material.
materialname: yourmaterialname

2. Go to Asset Manager and create a new entry on material. The name of it must be how like you write your material name on XMODEL_EXPORT.

Click image for larger version. 

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