Sometimes when you open a file you get a message that says:
(https://www.sc4devotion.com/forums/proxy.php?request=http%3A%2F%2Fi.imgur.com%2F9evMYD5.jpg&hash=93d65533321953315860feceb84d419861789792)
(Max 2014)
Here I will press [Continue].
After than I will press [Shift]+[T]
That will open the Assets Tracking.
If you don't see the texture press the refresh button at the top left.
(https://s32.postimg.org/6sosbza5x/AT1.jpg)
Now you can right click on each texture and in the lower left quad you find set path.