"Working in Max, I loaded up a Warband, deleted everything but shield. Then, I loaded up a Barbarian Peasant. So basically it looked like a standard Barb Peasant holding an oval shield. Anyway, when I imported it, I got the message (or something along the lines of):

"Mesh shield must have the skin modifier at the top of the stack. If static then it must have a bone as its parent."

Any ideas what I'm doing wrong?