I'm new to this and don't know how to import an object along with its texture.
When I import this object together with the .mtl file, the textures do not load correctly. I think this problem is due to my lack of experience with the program. I would appreciate your help.

Comments
Please attach your image, embedded images are not shown properly.
Are the image files in question present, in that location on disc? OBJ has very limited material settings in any event, so you cannot expect a geat deal.
A bit of a tutorial - hopefully Horo might chip in with a good recommendation for an advance tutorial on the subject.
Click on File then Import Object
Locate obj file
Click on Obj group material
Do a test render
Some objs have multiple elements, to find out, click on the triangle
Click on Select Meshes
Continuing -
Scroll down the list to the section of choice, click on it to select
Check that the area selected has turned red. Next click on the M button
If it did not load with textures, click on the first circle in the Diffuse row
Click on the P button
Click on Purple button above the P button
Click on blank square next to the images to begin loading a texture
Continuing -
Locate your texture file
Click on tick to accept
Click on tick to accept
Do a test render to see how the change looks
If you go and click on the M button again, then click on the Blue-Green button you get the Transformation tools.
bastiangarrido888 - get this free 11 page PDF document: https://horo.ch/docs/mine/pdf/BryceContent_v4.pdf it should help you understand where objects, materials etc. belong.
I have this problem only with most freebies, I normally have to texture the object from the images included in the file, just like Bunyip02 showed.
I recognize the issue and also use Bunyip's approach, or, preferably, change textures to procedural textures from Bryce to save many MBs.