Hi
the error message is:

Invalid name:
_0_pCube1_pCube2_pCube3_pCube4.mdl

so it repeats for each object in the scene, for example, if I have 9 objects then 9 messages appear, but it only occurs when I open the generated WMP in WED.

I have textured the whole block just selecting it, then render=>hypershade=>double click in the lambert material=> then select an jpg file image, then set it's uv between 0 and 1.
I'm doing it right?

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