When you save a 3d object a bunch of confusing looking text is saved into a .x or .3ds or .obj or whatever. This data tells DirectX the characteristics of the 3d object, this includes size of object, vertices, texture file, special texture effects, so on, and so forth. However, the format isn't smart enough to track where you keep the texture, so you must always keep it in the same directory as the object file. I just reread this post and I hop I don't offend you or anything, I seem to be talking down in a couple of places.....
good luck!
juvy
Juvenile Industries
Current Project: The First Room (FPS)
Soon to come:An rts, and a snowball fight game