How to Import Correctly?

Hello I was trying to import a 3DS file, but whenever I do, it comes in grey, even when I try to open the file in 3DS Max that I have downloaded, it loses it's color. Here is the file I am trying to download. http://tf3dm.com/3d-model/locomotive-chs4-072-54682.html. It has the resources with it, but for some reason I cannot get the color to come with the download. Any help is appreciated.