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I'm probably still a little rusty.
You make the texture in Photoshop, save it as a .dds, assign it to the plane in Max, export the plane, put it all in the proper place and live happily ever after, right?
Kevin

Under the heading of 'Well DUH...'
It helps greatly if the file you save as DDS and the file you load into max have the same name...
BTW, it's not necessary to start FSX again every time.

Sometimes FSX just wants to be stubborn, and won't flush the textures even when changing aircraft...