Heres what you do: (this is straight out of my 3ds max schoolbook)
1) press the "M" hotkey to open the material editor.
2) click the small gray square next to the diffuse swatch like the others said.
3) select "bitmap" from the list.
4) browse to your iameg file and click "open"
5) drag and drop the material sample directly onto your model in one of the view ports.
OR
5) use the "assign material to selection button" on the toolbar, directly under the material sample slots.
6) Click the "show map in view port" button in the toolbar. (I think thats what you're missing!)
That SHOULD work. If not, there is something else wrong here.
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