Missing texture error

Or, you just create new material in blender and asign textures to appropriate chanals, color texture to color slot, normal map to corresponding slot and so on. You asign new material to imported object. Done

Have you contacted the Author? Maybe he can help you with the specific model you are having problems with. Just click on the Envelope icon next to the authors name. It is possible that his fbx file was exported with no textures applied.

Specifically in Blender: You should check that Preferences\File paths doesn't have anything weird going on, and maybe try the Image Search option in your fbx import file view.