AutoCAD 2013 :: Missing External Files Error

when trying to follow the "Getting Started: Animated Battle Scene" tutorial.  I am at the "Adding Materials to Objects In the Scene" section of the tutorial where I am being instructed to add the textures onto the objects, however when I open up the Compact Material Editor, all of the samples (Battlefield, Cannon, Windmill, ect) are nothing but grey spheres. 

I was able to locate the image files stored in my Documents/3ds_Max_Tutorials_scene_files folder, however when I close out of 3DS Max, reopen the program, and reopen the scene, I am presented with the "Missing External Files" message box. Where should I store the image files so that 3DS Max is able to locate the image files?