Okay, my memory is really bad.
Just tried it here and its the same.
But, at least the uvs are still existing?
I fear that you have to load the textures seperately, then.

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt