The texture names used in the file are displayed while loading the model, if the texture can't be found by the manager. Like in this line:
"Texture named XWBACK.JPG added to TextureManager!"
What this means is, that the loader is looking for a texture named "XWBACK.JPG" in the TextureManager. If it doesn't find one, it creates one. So, before loading the model, you should add this texture like so:
TextureManager.getInstance().addTexture("XWBACK.JPG", <your texture>);
Do this for all of the textures that are printed out that way during load. If the texture is named "BLAHBLAH.TGA", use that name even if your actual texture is a jpg or has a completely different name. With the naming of the textures when adding them, you provide a mapping between the names in the 3ds file and the file names of your textures. The names are case sensitive, so if it prints out "XWBACK.JPG", name it "XWBACK.JPG" when adding....not "xwback.jpg" or so.
I hope this makes it a bit clearer.