Your images might be in the wrong format.

SH3D can only load [font=courier new].jpg .png [/font] and [font=courier new].gif [/font]
If your files are in any other format (which is often the case with 3D objects you buy or download for free), you need to convert them before they can be imported to SH3D.
There are some free online converters that will do this for you.