I have never used Cinema 4D before, but I do know that the texture needs to be UV mapped for any 3D game engine to recognize it.
http://www.youtube.com/watch?v=MkQ4xgAOXI4
Here is a youtube video of how to do it. Also I always make sure my textures are called:
nameofmodel_D.tga (diffuse, copy and rename D2)
nameofmodel_D2.tga (this is the one I type into makeentitiesfromx files
nameofmodel_N.tga (normal)
nameofmodel_I.tga (usually a copy of normal but I have messed around with black and whites as well)
Another thing to remember when using " Make Entities from x files " is you need to type the ".tga", ".dds" or whatever extension your using, example = "mytexture.tga" not "mytexture". I also only use tga and dds image formats.
If you keep having trouble post your .fpi file here so we can look at it.