if you want to import textures, you have to make them be in .bmp format with both dimensions a binary value (64x64, 128x128, 256x256, 512x512, etc).
if the map you downloaded had a texture package attached, open the map you're working on, go to textures and go File - Open Package (its somthing like that) and open the specific package of textures.
I assume you mean like Bactaweek textures?