in the maxscript the textures are specified there. If they don't load then manually add them in max after you've loaded the object in via .ms run maxscript.
see the link -
http://66.159.225.58/eqemu/export.jpg
Not sure what you mean by individual models - see above picture - if you export the shown object then the .ms and the .dat and your textures (manually extracted) are placed in the same folder. I simply extract the entire zone's textures to a folder.
George