Okay, first off, what version of Cartography Shop are you using? If its 4.1 then it should copy the textures into the same place it puts the .x file.
The blue background is default 3D enviroment for DarkBASIC. The reason you level looks all gray is because it doesn't have the image files needed to put on the model. Check in the directory where the .x file is and make sure that all the images (algeabrick, snowbrick, etc) that you used in your model are there. If they are then loading the model should work fine.
"Computers in the future may weigh no more then
1.5 tons. - Popular Mechanics, 1949