Hi,
if I'm getting the right impression from the screenshots, you selected the mesh in editmode and used the uv/image-editor to apply the texture to it, right?
However, in order to make the texture *render* aswell, do the following:
In the MATERIALS tab in the panel on the right hand side (the tab with the golden sphere on it, you have it open in the second screenshot) press the "+ NEW" button (with the car mesh selected. Leave all the settings at default for now.
Then go into the TEXTURES tab (the checkerboard tab to the right of materials) and here, too, press "+NEW".
Some options will appear. Under "Type" (at default "clouds") select "Image or Movie", then go down to the part where it says "Image". You may have to expand the entry with the little triangle.
Then click the "Open" button and navigate to the texture image file you want to use.
As a last step go down to the "mapping" entry and set "Coordinates" to "UV" (instead of default "generated"). Try rendering now.
I hope that the whole car is one mesh only, though, because otherwise things would be a lot more work :/
I hope I understood the problem right and this was any help...
edit: ah, my bad, just took another look at the screenshot and saw that you had the road selected and not the car.. so the missing material might not be the problem after all.. if you still need help you can send the files to puzzleowl@googlemail.com and i'll take a look
edit2: okay, I just downloaded the .lwo and imported it into blender.. figured it out

so, it's basically the thing i wrote in my first post, but for several different materials.
I recommend that you start with the original model from scratch and you'll be done in 5 minutes:
-import the model.
-select the car mesh.
-go to the materials tab.
-click on the material "Body capot"
-go to the textures tab
-click "NEW"
-change the settings:
Quote: "
Type: Image or Movie
Image: Open > "UKCPT.jpg"
Mapping: Coordinates = UV
"
(see attached pic)
-do the same thing for certain the other materials:
Body G -> texture: "UKCT-G.jpg"
Body D -> texture: "UKCT-G.jpg"
Pneu Structure -> texture: "pneu.jpg"
etc etc
Each time you need to select the material in the Materials tab and then create a new texture in the Textures tab.