I've just been through exactly the same process. The DX sample is cryptic to say the least but I spent a few days working through the code until finally I understood it with the help of a tut on gamedev. Unfortunately the site is down at the mo so I can't post the link but its called "Working with the DirectX X File Format and Animation in DirectX 9.0". I'll endeavor to explain how I understand it.
Calling the AdvanceTime function will automatically update the TransformationMatrix member of every frame in the heirarchy. You then need to update the array of matrices which represents the mesh in its current animtion state. This is done by setting each frames CombinedMatrix to the TransformationMatrix multiplied by the frames parent CombinedMatrix. Once this has been done the MESHCONTAINER object has a member, ppBoneMatrixPtrs, which points to all of the frames CombinedMatrix members so you don't need to iterate through all the frames again to use them. So, once you have the updated state of the mesh matrices you loop through all of the bones in the mesh, which will be equal to the number of frames and thus there'll be one ppBoneMatrixPtrs element per bone, and multiply this matrix by the bone offset matrix, pBoneOffset. This transforms into the bone space. The result of this matrix multiplication is stored in each element of the Application member m_pBoneMatrices. Its then just a question of locking the meshes vertex buffer and calling UpdateSkinnedMesh, passing the m_pBoneMatrices array so it can transform the vertices correctly. The mesh vertex buffer will now hold the new mesh data to represent the mesh in the current frame of animation.
Reading back on what I've just written it seems just as complicated to me lol. Also I see now the date of your post so may already have figured this all out by now. But anyway I know what a pain it is trying to understand this reasonably complex topic so I thought I'd contribute. Hope this helps. Oh btw, I did this all in C++ so I'm not sure how much different the C# implementation is.