I'm guessing the particle effect is actually part of the model, and not an added item. If you really need to know, you can decompile the model in XSI. If you just want that particular look for your particles, there are ways to do so.
Thanks for the names, Crimson. Does anyone know how to link to then via an env_sprite in Hammer? I can't seem to get the path right and it just defaults to pink & black checkers...
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