Check the FPE of the entity you are using. The texture line-> see if it is using a JPG texture. If so, it will need to be changed to either a DDS, TGA.
Also some shaders require the textures to have format such as "texture1_d.dds", "texture1_d2.dds", "texture1_n.dds", "texture1_s.dds", etc. You can usually view the shader and it mentions what is needed. For example, the shader "bumpbone.fx" calls for a "bump, diffuse, and specular" textures. Another example is the shader "illuminationent.fx" which requires "texturename_D.tga" and "texturename_I.tga".

There's no problem that can't be solved without applying a little scripting.