Can you please post why you were successful this time. It doesn't do anybody any good if you just post that you were successful. If you tell why you weren't successful before, and why it works now then some people with the same problem may be helped.
Good point. Sorry about that.
I am using modo for modeling. I had dropped a texture on my cube in modo and it displayed fine there. Then I saved it as an FBX file. However, this method did not save the texture information with the geometry. In modo I had to first create a material and then apply the texture to that material. The material effectively attached the texture to the geometry. When I saved it as an FBX file, the texture was referenced with it. As a result, when I imported the geometry into WED it came in with the texture applied properly according to the UV map I had made.
I even went further to create two objects, each in their own layer, each with their own UV map and each with their own material and texture. This also imported into WED perfectly.
I have not tried this with an object having two UV maps, one of which would function as a light map. So that will be my next test.
I have not tried any tests from MAX, so I cannot help there (yet).
