If you encounter problems exporting your ShaderFX material while following the steps outlined in Export ShaderFX materials to HLSL, CgFX and GLSL, try to workaround the problem by specifying the file extension in the HwShader/Filename attribute. That is, instead of entering myDrive:\myProject\myFolder\myshader.*, enter myDrive:\myProject\myFolder\myshader.fx.