Follow this tut and you'll see how to do it propely.
http://eat3d.com/free/cryengine_3dsmax
Thing is, inside the .CGF file, there's a path for the default .MTL assigned to that .CGF, if no default .MTL is assigned, or if it's missing, then you'll see a replace-me texture in the object, and you need to assign a material manually.
So make sure your object has the right material assigned in max/maya, export the material first, and then the cfg.
You can also import a material from the editor to Max, I explain that in that tut if i'm not mistaken.