I always assign materials like this in Wings:

1. Select the faces you want to apply the material to.
   2) Right-click to get the drop-down menu. Find the entry ".Material." near the bottom.
   3) Left-click to assign an existing material; right-click to create and assign a new one.
   4) If you chose to create a new material, Wings will ask for a name and then open the material editor where you can assign colors and such.

-- I'm not mad at you, just Westphalian.