.MDX files are 3D model files engineered and used by Blizzard Entertainment in their games. Several variations exists but this document focuses on the format used in Warcraft 3 and Frozen Throne. The format actually comes in two flavors, .MDX and .MDL. .MDX is a binary format. It's harder to edit but has generally smaller filesizes. .MDL is a text format which allows you to edit the models with just a text editor. The text formatting increases the filesize drastically though. Several converters exists to quickly convert between these formats.
If you are trying to conver it, use a program such as 'MDLX converter' or 'War3ModelEditor'