Unfortunately I too have been having trouble with .obj files not importing properly into PS CS3 Extneded.  I've been doing the video training onf Lynda.com and it was revealed that Photoshop is fussy about textures, some don't import properly--and as mentioned above your texture files must be in the same folder that the .obj file is for Photoshop to find them.  I've had the greatest successs importing u3d files, which is like Abode's native 3D format that's used by Arcrobat.  Daz Studio at www.daz3d.com is free and it can export u3d files.  So a work around for you may be to import your .obj models into Daz Studio then export them in u3d.  Sounds like a lot of work I know, but Daz Studio is fun and comes with some nice free content, plus they have free give-away models every week.  If you don't want to do that you might want to try exporting in 3ds format, or another format that Photoshop is supposed to support.