if you don't work with a 3D program, may I ask why you'r trying to get a model into it?
basically, what you need to do is assigne the textures by yourself, using a sub-object material as a model usually has more than 1 texture.
if it has only 1 texture, than put it in diffuse, put the glow in the self illumination, and put the shine map in the specular slot.
the different colors for the sub-object meterial is just meant to help you know what texture should go where on the model.
the error messege is because 3ds max can't find the textures, sometimes even if they are in the same folder as the DAE model it won't find them, I also don't know what version you'r useing, so perhaps newer versions will automatically look for the textures in the same folder...