Tom is on it.
We all learn to make our own textures, or the rich and wealthy hire people to do it for them.
You must 'map' a part first to a texture.
You must also create a texture of which to map to the part.
You must also create a Material in Gmax.
What I do, for say a tire (like in the other post you have here on this subject), I have a texture sheet going together. In Gmax, I will take a screenshot of the tire. I paste that onto the master texture sheet in Photoshop, (only the tire) and arrange it on the texture sheet to take only as much room as needed. I then hit save in Photoshop. I go into Gmax, in Material Editor, I create a new Material, add the material into the Diffuse slot (small button on Diffuse), and click on the blue and white button for the material to appear. Add the material (Attach) to the tire object in Gmax. Next, map the UVW (paint it onto the object, adjust the 'mapping' (map) of the texture sheet over the object (sort of like a light photo being shown on an object, just adjust, scale the projection over the object), and done. Your tire will now be mapped.
Your first couple of parts will be difficult, but once you understand the system, its soooooooooo easy.
Miltons tutorial is brilliant.