I am currently using Houdini Apprendice and exporting to Torque. I also want to explore using the Sunburn engine. Sunburn does not easily understand Torque DTS formats and I don't want to have to go through a bunch of hoops trying to export from Houdini then import into something like XSI or Blender and then export to FBX.

Usually when you try to do that sort of thing you almost always loose things in the process.

I will need to be able to animate and hang onto all materials and such.

Can someone point me to the details of exporting from Houdini directly to FBX so that the final output contains all animations and materials and everything to use directly in Sunburn for XNA?

I'm having trouble understanding what you're asking here. You want to export a scene to FBX? Just use File > Export > FBX. There is no exporter for Sunburn in Houdini.

First I feel stupid for not seeing that.

Second, it is greyed out, so I can't pick it. Why would that be?

If I do get that to work will it export all of the animation sequences and everything like that?

Sorry, I forgot it's not available in Apprentice. The FBX exporter will save out entire scenes with animation. As for materials, the FBX format has limited support for that so I think only FBX specific shaders(?).

Is there a way to just get the FBX export feature? I can't afford the whole Houdini program.

Not that I know of. Having said that, I think Houdini Escape also has FBX export. You could always contact sales to see if you can get a trial license.