Ok first off, if your files are '.wdl' then you are using C-Script, the old language. As a new user you should get started with lite-c...
http://server.conitec.net/down/litec.zip...If you've already completed them then, make sure you save your files as '.c'.
An '.fx' file just contains the shader code, in a language called HLSL(High Level Shader Language). You create a Material in your '.c' script, and the effect paramter of the material is where you say which shader to run...
MATERIAL* MyMaterial =
{
effect = "myshader.fx";
}
Then you attach your material to any entity you want...
action MyEntityAction()
{
my.material = MyMaterial;
}
I don't mean to sound patronising....just making sure you get the full picture.