You either don't have the textures in the same folder or .pac/.pcs or named them incorrectly. Since it takes the names of the textures you use in max, I assume it is the absence of textures.
going along with what Iwvi said, it may just be the lack of applied uv maps. go into Max, and just put an Unwrap UVW on all the objects, you don't have to change anything, but make sure they're under the Skin, then just re-export.
Thank you both.
