It won't be a plugin, it's a bitmap that is missing - either the model download has a separate download for textures (sometimes models online work that way), or the bitmaps are not included. Or perhaps just the paths are wrong - you can check the materials on the model, see if they are pointing to the wrong place (and check the folder where the model was extracted, see if it does in fact have the bitmaps), and then point them to the right place.
Also, could be that when wrapping up the scene to put online that the artist hasn't cleared out extra textures that aren't used (Max is very good at hanging on to materials that aren't actually applied to any object in the scene :) ) - so the question there I guess, is does it render like you see in the sample render on the download page?
