I get the same thing and what I do is first goto xdsoft.com and get their new 3d viewer tool its free and it will import the obj file and then save it in any format you want and then it will import into Bryce. I use that all the time and the import object will have the textures on it as well. the 3d explorer just got updated and it will view almost and 3d format and convert it to almost any other format its the best one I've seen and its free!

"But I being poor, have only my dreams. I place my dreams at your feet. Tread softly, because you tread on my dreams." --William Yeats