If your converting to .x (you must be for DBPro) the textures need to be in the same directory as the model. However, it might not be a bad thing to load the images in seperately and texture the objects with code. The main advantage being that you can decide which textures to use, so you can variate the resolution, colour scheme etc. If you were making a sports game for example, it'd make sense to use models with no texture affiliations because it'd just slow down the loading of your players.
There is a little app that lets you select a .X model, then select which bitmaps to use for the textures - all without converting, so it makes it safe and easy to change textures. I'll post a link if your interested, it's something I added to the DX Texture Converter provided with the DX SDK.
Van-B
My cats breath smells of cat food.