You probably haven't added this object to the game properly. Make sure that the material is placed with the other files in the My Objects folder as well as the other content that goes with that specific Object.
Another reason could be that you haven't saved it into a group of its own by making a group for that object and all the objects it came with it.
Could always give them two a shot.
Edit: Also try opening the material file in notepad and look for any textures/materials that could be missing from your folder(s).
Is it possible that you could have replaced this with another material? Or perhaps the material has been typed in wrong? Wrong material used?