Ok this sounds like you haven't got your directory set up right....I think.
Go and look at
http://toadlife.net/ofp/downloads/tutorials/SFG/t3.zip - (7.13MB)
Just check where your bulldozer.exe is located and create a directory in the same folder with the Name you want to use for your addon.
If your .exe is in H:\
H:\Bulldozer.exe
I then create an folder with the name of my addon.
so I have a directory structure something like this:
H:\Bulldozer.exe
H:\MYADDON
H:\DATA
H:\DATA3D
Put all your textures that you want to use in "MYADDON" and then try loading and applying your textures from there...then see what happens.
Hope this is some help.