In the final lesson the textures are applied automatically to an imported FBX. You never explain why. And in fact, when I try this, it doesn't work. Do I have to re-create the folder structure? Does it have to do with the naming scheme?
Typically the name comes from the mesh itself. So if you had a material called "rock" and another called "grass" it would then create two materials with those same names. If you didn't apply a material sometimes it'll just create one called "default material" or something along those lines.