As well as the settings Bill mentioned, there are also two other that you should have set for the best results.
In Customise>Preferences>Viewports>Configure Driver, set the Match Bitmap Size as Closely as Possible option.
In the viewport settings (right-click Top, Front etc...), make sure "Texture Correction" is set.
Here is how my GMax looks with a texture applied to an object:-
This is using the HEIDI (Software Z-Buffer) driver by the way, it's the least troublesome of all the drivers and most computers these days are fine with it speed wise.