I managed to solve my issue... oddly as It seems.I tried multiple things, but what seems to have been the problem was the .DDS texture name.
Ha?... yep.. I haven't quite understand what was wrong, maybe it was something else.But what I did was saved the .DDS file with another name, then applied it on the object in 3ds max again, exported it again but in a shorter path than the previous one.And ye... till I didn't deleted the folders of the same older file that I was trying to import It didn't worked, ye and if you get it wrong and you get a black texture, make sure to delete it before replacing it.Some times it seems to pick up the older one.Ye... and don't try changing the name of the .DDS file after saving it from photo-shop or the name of the 3D model after you exported it, that's bad!Doesn't work as well.
If any other light on this matter, please share.Maybe its something else.