If the item is multi-textured, this can be a problem, in this case perhaps you've to refine fpe file, (set texture field, empty).
If your item have texture sheet (usually uvwrapping in modeling soft, in your case Blender), so you can choose this texture sheet, as texture file.
About single models, I'm affraid you will have to baked textures in blender.
Anyway this models usually are for fun only, since most of them are "personal use only". They are fine for use as reference, when you made your own model.
3com
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