IT looks lije a red ball on the upper right of the default user interface.

Otherwise - hit "M" (keyboard shortcut)

At first glance, you notice that it's really not that easy to figure out how to apply the textures.

Look at where you see 3 words stacked one on top of the other (I assume you are using v1.2). They are (from top to bottom) Ambient, Diffuse, and Specular. Next to each word is a color (these are used to give you object some color.

The last two colors (one grey, the other white) appears to have a small blank box on the right side of the list. Click on the top one and a long, narrow bow will appear. On the small list, click on where it says Bitmap (double click).

From here, a browser will pop up. This is to help you find the texture you made or copied. After you clicked OPEN, you will see that the interface of the material editor has changed so that you can make some adjustments to the bitmap image that you will or have applied.

But before that, make sure you select the object of your choice and then click APPLY. After that, look at the top of the editor for 5 individual icon. Some are shaded grey. That means that those are not needed (unless you chose the MULTI-TEXTURE option after clicking NEW). Anyways, single-click the icon that looks like a checkered 3-D box (you need to click it, otherwise, you won't be able to see images on your object.

And Voala!!!!! There it is. Your nice little object with you bitmap image (or texture) applied to it.

Optional idea:

After that, go to the modifier stack and collapse the whole set to editable poly or mesh. From here, you do whatever the hell want.

PS: Make sure you have UVW Map on your modifier stack pior to doing the steps I said.

I did all you said Katahu, and nothing.
I even started a post here for help but no answer.....
I don't know what to do..... I did this on the sample file from here:
http://airspace.uhk.cz/mlk/msfs/tutorials/gmax/part1/gmax_texturing_01.html

and it worked fine, so I got how to do it.... maybe it's my model or something?