Sometimes figures are saved with textures that aren't included in the zip file. Or the textures aren't put in the same directory they were in when the figure was saved. You have to either find the texture(s) or select different ones. When the error message appears, click on 'yes' then look for the proper textures in your files structure. You will probably have to do this about 20 times before the figure loads. (Depending on the figure) Or it could be an obj file that's missing. Some figures are only useable if you have certain other figures. In that case, you have to get the required figure file and install it into the correct directory.