the materials are case-sensitive, and to get them to work, you need to open up your material file for each respected mesh so you can see what to type in.
upon opening up a material file with notepad, you will see something similar to the following. what i have below in red is what you will type into the game to make it work.
material aluethdrawing
{
technique
{
pass
{
cull_hardware none
cull_software none
texture_unit
{
texture aluethdrawing.jpg
}
}
}
}
I'm satisfied you're not coding yourself yet, so all the destination texture lines should be good. In which case, you do not need to alter ANYTHING, just look at the notepad for reference of what materials you are wanting to use.
Also be sure that you have placed all the .png and .jpg files into my_objects that came with your downloaded objects. It could be they just aren't being found, or it could be, like above, that you aren't typing in the right material name.