AaronG, You must create UV's for the model you import.
1. Select the part of the mesh you want to UV.
2. Click on "Tools" then "UV Mapping"
3. Select the type of UV that best fits your model you want to map.
4. Follow step 3 untill you have all your mesh UVed and placed on the map so you can paint it.
5. Click on "File" then "UV Map" and save the UV map.
6. Click on "File" then "Model" and save your new model that has UV cords applied to it. You will use this model from now on with the UV Map you saved.
7. Paint your texture on the UV Map.
8. load object "mymodel.x",1
load image "mymodel.bmp",1
texture object 1,1
9. Have fun!!!!!!
You might want to check out this Website.I have seen all the tutorials and I think it's a great resource if I say so myself.
http://www.mp3d.info/Anim8ortutorials/index.html
MP3D