Use 2.49
I think it's about time we stop recommending 2.49, since we have a working exporter now, and for a new user, 2.5x would be easier to use (just to older users it seems more difficult, since the location of everything is changed).
The textures are done almost the same way.
Select the object, go to the properties window (formerly known as the buttons window), and choose the textures "tab". By default, there should be a blank texture already (if not, click the "+ new" button). Now use the "type" option box to change it to "image or movie". Now in the image section, click open and choose your texture. This will link it for export, so the texture will export properly (on a side note, make sure you have the absolute latest version of the exporter, the older versions had some bugs with UV mapping).
If you want to also be able to see the texture in Blender's 3D window (in texture "viewpoint shading"), select the model in edit mode and in the "UV/Image editor" window, open an image.