Mesh (X) files are 3D Models while Effect (FX) files are Effects used by DirectX.

These were part of then called Avalon 3D, where OS (or user written app) could use
3D elements within 2D surface; such as information panel in file manager (Explorer),
or custom presentation app, even Desktop itself, Folders (at the time of prototyping)
and OS Dialogs used some of these files.

Some of these folders have textual "info" file inside for curious user to see why some previews are "broken",
and some folders have image file(s) that show how some broken and/or unfinished things supposed to look.

Remember that Longhorn was far from being finished and all these X and FX files come from various builds.
They have been sorted as proper as they could, and fixed from missing files and errors (hardcoded paths).