Just a question: Do you use Poser 4 or Poser 5?

If Poser 4, you might need to convert the .jpg bump files to .bum bump files. That should explain the dialog boxes you get asking for file locations. They appear over and over again for the same file since the bump file is loaded to many different body parts, which makes it a bit frustrating...

In Poser 4, you need to convert the bump files manually, it will not be done just because you use a MAT file to load the texture. It's easy to do: Just load a simple prop (the box or the sphere will do) and open the texture settings and manually load the bump .jpg file as the bump map. This will prompt Poser to automatically convert it to a .bum file. Next time you use the texture on Vicky, Poser should be able to find the bump file by itself.