Go to windows -> MPQ manager (or something like that) -> in the new window select "open mpq" and open war3.mpq / or war3x.mpq. That should load all needed textures.
If you use custom skin, make sure the .blp for that model is in the same folder path like what is set up in the model.
(e.g. if the custom path for your custom skin is for example Textures\<skin>.blp; then in the folder, where you have that model, you also have to create new folder named "Textures" and put the .blp inside it)
Can you show us please the window of Texture used?
It might be:
1- Texture isn't in the right folder ( either in mdx's folder or Texture sub folder )
2- Materials not set up
Materials Manager should tell you what textures are being used where.
For point #7:1) Open your model in war3model editor
2) Go to: Windows -> Material Manager
3) Now click back into the main window of your model editor (so you can turn the model, etc.)
4) Hold down left "CTRL" button and left-click the blackened part of the model (make sure you don't accidentally click the glow around his weapon, etc.)
5) Now that part of model should be highlighted in your Material Manager window - double click the highlighted material
6) New window called "Materials" opens, there is a window inside it called "Layers", in which usually 1 or more "MaterialLayers" are
7) Open one of the MaterialLayer by doubleclicking it. A new window called "MaterialLayer" opens.
8) In the upper-right part of the window is a "Texture ID" field (Don't mistake it with "Animated Texture ID"). Check the scrolling menu for its texture - if it's "Replaceable ID1 or 2", then leave that (it's the player color), if it's (none), change it for the model's texture - in case of Arthas model, choose the "Textures/Arthas.blp" texture.
9) Click "Ok" until your are back to Material Manager window
10) Check if your problem has been solved.
No. That you "use" texture means that its path is add to the model, however you also have to apply that texture to the model itself, which is done via material manager.
To check that, do this:
For point #7:
If there are more MaterialLayer in that "Materials" window, then progressively check all those MaterialLayers
For point #8:
If the textures is correct and already set there (e.g. for arthas model the "Textures\Arthas.blp" is already set there), then something else is wrong.
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What Rheiko meant is that you got to "Windows -> Texture Manager" and screenshot the newly opened window called "Texture Manager".
Also, is that a custom/edited model or is it just an exported model? If it's a custom model, you could attach it to your post so we could help you find the problem