Hey, another person who uses solidworks for making the models, great! I'm assuming you've done everything correctly in converting the imported models into editable meshes, and so I will give you some basic guidance on how to do texturing, because it is not anything like any of the other engineering programs I use for applying textures (Granted, that is only solidworks and rhino).
First off, you have to create a material, as described by xcorbo. I personally use in-game textures (i.e., things from existing starcraft models) because I don't have the will/capacity to do any 2d art, and making normal maps looks like a pain. It also makes it easier for people to import. A good point of reference is to import an existing model and look at some of its material properties (specularity, flags, and multipliers) to see how things should be. This will also be VERY important in using particle emitters.
3ds max allows significantly more control of how textures are applied through use of the modifier "Unwrap UVW". This will allow you to "paint" a texture onto an existing model. Once you apply this modifier, you can click on "edit UVW". A window with a checkered background and a bunch of green squares will appear. In the upper right corner is a drop-down menu with the option to change the material from checkered to "Composite texturemap". The checkered squares are a default because they are extremly useful in checking scale/alignment between contiguous pieces, but in general you are going to want to work off the composite texture map, or the textures you are actually using. Once here, you may notice the green squares correspond to faces of your model. Play around to find out what all the different settings do, as there are quite a few that can assist the process. One hint: at the upper ribbon of this window is a menu called "mapping". Experiment with the different kinds of mapping you can perform on your model, as it will create different chunks of faces spaced out in different ways which can greatly ease your ensuing pain. Finally, if you are using a symmetric model, I suggest using only half of it, texturing it, and then mirroring it. It will save you some pain with 3ds max's lack of snaps.