Yes, this part of the manual is not yet clear.
The maketx.exe program which converts images to tx files normally works with tif files. Unfortunatly this default behaviour does not work on windows correctly, I suppose that't because of the used tiff library. So what the script does it to create an exr - tx file for ever file texture in maya. It is then called after the original name with the extension ".exr.tx", e.g. if you have a texture file called "test.jpg", the result will be test.jpg.exr.tx".
In other words: place the two lines into a python tab in the script editor and execute it. In the output windows you should see a listing which files are used and you can see if your tx files are used as expected.