Forget all you have learned about changing materials. The material name isn't the file name.
open the .material script with notepad, or any other text editor.
in the .material script you will find something like this:
material yourmaterialname
{
technique
{
pass
{
cull_hardware none
cull_software none
texture_unit
{
texture yourimage.png
}
}
}
}
at object maker, select your loaded mesh and type the material name remarked in red. uppercase/lowercase sensitive.
The same is true for .particle scripts, but the diference is the particle name is followed by the word particle_system[color], and they need to be loaded at Effect Maker -> particles, not at object maker.