If your models has more than one texture map you are going to have to combine them into one texture map using a photo editing program like photo shop etc. then your going to have to add a uvw map modifier to the stack then a UVW uwrap modifier to the stack in max then remap your model again using the new texture map for your model so it only has one texture map not muiltiple ones the game engine is set up for only one texture map for each model.
however I have gotten FPSC to use muiltiple texures on a single model by creating a .fpe file with all the information for the model(.X) placed in the .fpe file except for the reference for the texture I left it blank and put all the texture file in the same folder as the model (.x) file and the game engine loaded the right textures for the model, only problem was on the game build they would not show up,
you can use a .fpe file from a simular model also just pick one in your entitiy bank folder copy and paste it into a new folder in your entity bank folder ,Example car folder name inside the car folder you would put your model (.x) file the all the textures for your model,(important you must leave the texture names for your texture the same as they were in max or else the model will not be able to find them the model looks for the same name texture file that were placed on it in max), your .fpe file needs to be there also along with a 64x64 pixel bitmap for your model icon that is displayed in FPSC map editor window to the left of the screen, another thing FPSC will automatically create a .dds file along with a .bin file the first time you select your model form the entity bank from the map editor, so you don't have to create a dds file.
your can use dds converter to change textures formats from jpeg to dds or dds to bmp or bmp to tga,
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