Texture and 3Ds models

All 3Ds models i download from the web has not texture apply to it (usually come with .jpg texture file)

Do I apply the texture file to 3Ds model using 3Ds max program -OR- people usually apply the texture at run time like:

converter.setProperty("texurl", file.getParentFile().toURL());

can i export a .3Ds file with texture on it once it's loaded?

If the model comes up with the bright default "missing texture" image, your model is making reference to the texture, so you probably can get it working using the ResourceLocator tool.  If the missing texture image is not coming up, your model probably does not reference the texture already, so you'll have to apply it manually with a TextureState.  (Although, if it does not reference the texture, it often does not contain texture coordinates either…)