If this dosent work move everything to root or just m3 file as this can also work...and if there isnt a assets\textures location you will have to type in new path assets\textures for the dds files. Really as long as none of the files are in there initail starting folder when imported (if there even in one) then it should work.
You can add that to the tutorial or just delete it but thought id throw it in.
@RanchBurner: Go To create those directories you need to right-click the file and select "Move File", then you create a new path. Once you have the directory you need you just have to "move File" then select that directory.