Hiya.
First, your textures have to be the right type. That basically means .bmp, .pcx, .tga, or .dds. They have to be the right "kind" of those files too (generally, 24-bit or 32-bit works best; but there was a problem with .tga's that had alpha channels).
The textures have to be in 'powers of 2'; safest bets: 32x32, 64x64, 128x128, 256x256, 512x512, and 1024x1024. You can't "mix and match" (so no 64x256, or 128x1024, etc.) to my knowledge.
Second, simply placing your textures in a folder isn't gonna cut it. You have to open/make your level, then open the Texture Manager. From there, either open or create a new wad. Name it. Expand it now that it is in the 'textures' view on the left hand side of the editor. Right click in the black space of that wad and choose "Add Texture". Pick the texture(s) you want. Don't forget to answere Yes when it asks you if you want to save the textures to the .wad.
Save level, build level, run level.