Sweet Home 3D doesn't support [font=courier new]map_Bump[/font], [font=courier new]map_Ke[/font] and [font=courier new]map_d[/font] parameters in MTL format. It supports only textures defined with [font=courier new]map_Kd[/font] parameter and as you noticed, you should try to save them in the same folder as the MTL file to avoid possible issues.