We need more details (like the entire error message) to tell you for sure but start by checking:
1) The name of the mesh is exactly the same in the config.txt file as it is in the folder
2) When you saved in gmax that you actually added the .IM extension as it does not get added automatically
3) In Gmax, ensure that the texture name is correct and that you have not included extraneous, unused textures in the material editor
4) is everything in the same folder or did you use subfolders such as for main and shadow meshes or LOD levels?
Should give a starting point! If you can not solve it from this give us the full error message! Use content manager, right click on the item and select show errors! Give us everything there. A list of the folder contents would also be useful - again right click, open for edit in explorer and ensure all required files are indeed in the folder
Good luck
Bricey
