Thank you so much for helping me! =)

Although, it seems I might go the wrong way when I assign material... I rightclick on the object and choose "material attributes..."

Then I click on the bump mapping button and get those existing bump map alternatives.

When I choose one, that "file" button you mention doesn't appear anywhere. If you don't mean the file menu up to the left, which I guess you don't.

This is how it looks...