I've been following this tutorial:

http://www.windowlight.co.nz/simplebuilding.html

Been good to me so far, very detailed, but I can't get the "apply" button to light up for me so I can actually click it and apply my texture.

Followed all the instructions to the letter, what am I doing wrong here?

When trying to apply a texture in Gmax, always open up the Material Editor by pressing M.  Then select the material you want to apply and it will invariably enable you to click "Apply".

This is how I apply textures onto my models:

1. Create a standard material while using the normal textures as a diffuse.

2. Select the object you want to texture and apply the UVW Map modifier.

3. Apply the texture.

4. Collapse the modifier stack.

5. Select the desired polygon of the object.

6. Apply the Unwrap UVW modifier while the polygons are still selected.

7. Use the EDIT tool in the modify area to properly align the desired polygon with a certain spot in the texture.

8. Once done, collapse the modifier stack once again.

9. Repeat from step 5 until finished.

I noticed that by collapsing the stack, you create a perminant print on the selected polygons so that you can move on to the next polygon without messing up the texture setup in the previous polygons. This trick is mainly used for FS scenery objects made in Gmax, but it's justb as useful when texturing aircraft.