If you export as OBJ, there's a few settings you will need to be sure you have set. Choose OBJ, then select Blender preset in the Convert To parameter. Enable Show Individual Settings, and make sure Write Surfaces is checked, and also Write Material Library. You will also want to check "Collect Maps". This will make copies of the maps and put them into a maps folder in the same directory as your OBJ. Now when you open the OBJ in Blender, it should find most of the textures that were capable of being saved. However, you may need to manually add some on your own. This will be simplified now, because you have collected them all in the maps folder in one location.

Another option is to export from DS as and FBX file. This has the option to embed the textures or collect them to a folder in the options. FBX is a little more reliable when importing objects with textures into other packages, but there's more settings to be aware of. FBX can also export rigging, lights, cameras, etc. So if you don't want all that, you might be better off using OBJ.

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