Hi.
Your image needs to be located where Max can find it. By default, Max will look for them in the following folders:
yourproject\sceneassets\images\
yourproject\scene\
For external files located outside of your project directory, go to Menu, Customize, Configure User Paths, External Files, and add the directory where your texture map file is located.
Above is assuming your model has Material/Map assigned. Otherwise, you will need to apply a Material to your model then assign Bitmap type Maps to your Diffuse/Bump, etc.
Please review these items to get familiar with how to cofigure User Paths and assign Maps.
Configure Paths
Materials and Mapping
Select Image File