Yes, you just call CreateMesh (in recerenced code at least ). And this function first loads mesh itself (X file with coordinates, topology and attributes), and later calls CreateMaterials to build up material properties in device-friendly format. CreatingMaterials also include loading of textures mentioned in material properties form disk or other user-supplied place. And later it's mostly user responcibility to setup all material properties (colors, textures, constants in new Pixel/Vertex Shader world) and draw mesh segment/subset that has this material applied to it.

Some helper functions from DXUT / D3DX can simplify above mentioned steps, but you can do it all by yourself (to gain some flexibility / efficiency).