All your textures(jpg, bmp)need to be in the same folder as your DBO file, 3DWS should do this automatically when you export. If it has not done this for you, try putting them in yourself.
Quote: "also when i add these files into VC++ 2008 it compalines about No Rules Sre Set or something like that ????"
How are you adding them to VC++, other than exporting your DBO into the correct folder you don't need to do anything else, apart from load it in your code of course.
dbLoadObject("Test.dbo", 1); // all you need to do.