Open the asset for edit using the Windows Explorer option when right-clicking on the asset in Content Manager.
Check to see if the texture is really there. Even check other folders if there are any associated with the loco. And you can even check another loco by the same author and copy the textures out of that one and use it in this one if you can. Also copy the texture.txt files as well if they are there.
If it is not, download if you haven't already from Shane's link, PEVSoft PM2IM and Images2TGA as you may need both.
When you setup PM2IM, go to options and check open IM files. Once that's set, open the asset IM with it and press the convert button. This may resolve that problem.
Images2TGA may solve another problem such as there being only a .texture file and no textures, which can cause the error you are having as well. This program will convert the .texture files to actual images.
Once that's done, commit the asset and hope it works.
If that doesn't work, then use GIMP or Paint.net to create your nose.tga file and the specgrey files.
Eventually, after fixing a bunch of assets, I've created a folder with different bits and pieces such as black.tga with a black.texture.txt, greys of various names, a generic thumbnail, text files containing information on how to create mesh-tables, and other odds and ends. It's like a toolbox, I suppose.
John