Do what extrude says, because it looks like your model is inside-out.
then:
Click "New"
"Material01" Should pop up in the white box. and a white sphere should show up in the gray Material View window.
Click the first "<none>" button.
Find the texture you want to use and click Open.
Select the groups you want, then go back to the Materials tab and double click on the material you want to use on it.
