If your texture is in the same directory as your project file, Anim8or will have no problem finding it, because that's the first place it will look. Otherwise, the program "expects" things to be in certain places. For instance, it expects your project file to be in a "Project" subdirectory. Likewise, it expects your textures to be in a "Textures" subdirectory. It's just a way of organizing things logically.
You can help tell Anim8or where else to look for things by configuring the program. Click File > Configure... and the following dialog box opens. Here, you can specify in what directory you save projects, textures, objects to import or export, scripts, etc.