So, a few things to discuss.
First off, if Maya is throwing the error, "unsupported file format". Then the file you are trying to bring in is just that, not supported by Maya. What kinda file is it?
This is a very basic supported list:
Supported file formats | Maya LT 2020 | Autodesk Knowledge Network
Maya can actually load more than this, but let's keep it simple and limit your files to the ones listed here.
Secondly, Materials arent coming in on the files you are able to bring in. Again, what kinda files are these?
It's important to think about this when bringing in a file. "What was it written for?" Maya, Max, Unreal, vray, Arnold?
Files in 3d are not easily interchangeable without sometimes significant work. A file written for max and vray will never load into Maya without serious effort. If this is what you are trying, you will have to do way more research before pulling this off.
I need to straight-up rebuild networks more often than not, something always gets lost in translation. And usually assets I get online don't live up to my standards. I suggest you follow the same rule and redo whatever work the asset originally had done to it.
Finally, how to get textures from a folder into your Maya scene. For this, I suggest going to youtube and watching a few Maya shading tutorials. This is a super simple task, create a lambert and assign a file node. But if you don't know how to do this already then you definitely need more information on proper workflows. Trust me, watch a few tutorials, it will save you hours in the long run!
Let me know if you have any other questions. Good luck!