Loading 3D objects into Win32 API

I’m trying to load a model of a TIE fighter into OpenGL with NeHe’s Tutorial 32. The coding is all correct, but I’m not doing something right in MilkShape 3D with my textures. I looked at NeHe’s MilkShape project from NeHe’s site, and none of the textures are on the 3D object, but the program still associates the textures with the 3D object. It’s very confusing. I don’t know how NeHe did that. Any help would greatly apprecaited.