Importing blender model: '.' is not a valid texture file name on asset...

Hi, I learning game development, I have made my first model in blender but I'm having problems importing it to Unity.

This is the model I have created link text

And this is the UV map: http://i66.tinypic.com/23gxs44.png

However, when I open Unity3d it keeps showing the warnings:

 '.' is not a valid texture file name on asset 'Assets/Blehnder/conveyor_first_try.blend' on material 'FirstConveyorMat__Untitled_003' of renderer 'Plane_009'. The file will be ignored.
 '.' is not a valid texture file name on asset 'Assets/Blehnder/conveyor_first_try.blend' on material 'FirstConveyorMat__Untitled_005' of renderer 'Plane_009'. The file will be ignored.
 '.' is not a valid texture file name on asset 'Assets/Blehnder/conveyor_first_try.blend' on material 'FirstConveyorMat__Untitled_007' of renderer 'Plane_009'. The file will be ignored.
 '.' is not a valid texture file name on asset 'Assets/Blehnder/conveyor_first_try.blend' on material 'FirstConveyorMat__Untitled_006' of renderer 'Plane_009'. The file will be ignored.
 '.' is not a valid texture file name on asset 'Assets/Blehnder/conveyor_first_try.blend' on material 'FirstConveyorMat__Untitled_004' of renderer 'Plane_009'. The file will be ignored.

And the model shows with no texture at all.

How can I fix it?