Yeah those file names having . in them is asking for it, use an undescrore _ to separate words in a file_name.
Are any of those images a 64 pixel X 64 pixel BMP file?
You need one of those for the thumbnail.
An entity requires at least 4 files at a minimum for FPSC...
1) X FILE - the model itself
2) TEXTURE - could be .dds or .tga (could be multiple textures also if entity is dynamic and texture assignment in fpe is left blank)
3) FPE FILE - First Person Entity file for the models properties
4) BMP FILE - for the thumbnail (64x64 pixels)
The BMP needs to be the same file name as the FPE as in pookie.bmp and pookie.fpe and would be found as pookie in the desc of the fpe. (FPE Desc and BMP file name match)
The texture and model can be named differently but must be specified exactly in the FPE file