FDX is the XML file format native to Final Draft 8.
FDX files cannot be opened by Final Draft 7 / 6 / 5 / 4, whose native file format is .FDR. However, FD8 has the ability to downsave a script in the older .FDR format. If you are working with someone who only has Final Draft 7 or older, you will need to go to File > Save As and choose .FDR as the format before saving. Send this .FDR copy of your script and they will be able to open it on their older version of Final Draft.
Final Draft 8 can read .FDR files without any need for converting, exporting or downsaving. When a .FDR file is opened in FD8, it will automatically be converted to the .FDX format when the script is saved for the first time.