Model to proxy bitmap missing

[Andres2688]

Hello guys...
I have been downloading models from 3D warehouse and converted them into proxies, when I do that it creates automatically a multi-material that I save into the proxy's folder. Some of these materials have a bitmap that comes with the model but when I import the proxies those bitmaps disappear, in the Diffuse texture file slot is says that the directory doesn't exist.

Do you know a way to stick the texture from the model to the proxy?

What I'm doing right now is to import the whole model, which is something I was trying to avoid.
I can't either save the texture from the model cos the bitmap is not in a file.

Thanks in advance
Hope you can help me
Cheers