1. There is only one explanation, because 3DWS automatically copies the texture you use to the same folder as the DBO file. Unless you moved it, it must be because you've used the STF texture which are proprietary to Leadwerks products. To use them you'll either have to use different textures or convert them. This leads into your next question...
2. All of the textures are located in the 'C:\Program Files\3D World Studio\Materials' folder. Here you can see all of the textures you are using and add new ones. A new folder represents a new category. You should use DDS files, as they load MUCH faster than other file types.
As for being able to 'cross the walls like a ghost', that's your own problem, you have to add collision to your level as you see fit through various collision commands. You are not limited to DBPs native collision commands, just search the forum.
Download the game!