You might be having the same problem I had in the beginning. First of all, make sure you have a file texture on your model. Source and execute the atr mel. You will now be asked to choose a swatch. These are the same swatches that appear in hypershade. Just select File1 or whatever swatch your file texture was on. After that, your model should turn black with the words atr on it. This means that atr is working. I made the mistake of reloading my file texture because I thought it was neccessary. After all, we want to deal with our file texture, not this black atr thing. Don't do this though.
After the black atr texture appears on your object, open photoshop, load the atr action, and open your file. Modify your texture however you like, then press Ctrl + F12. At this point in Maya, the black atr texture should instantly change to your file texture and should have the changes you made to it in Photoshop.
If you do all that and still have problems, it has to be something else. This is a really neat mel, so maybe we can hack away at your problem until you get it fixed.
Another thing might be that you are loading the inncorrect action file in Photoshop. Make sure it's the ATR.ATN file. You should be taken straight to its directory the first time you browse for it, so it shouldn't be too difficult to find. Well, hope this helps. Keep plugging away at it because this is a really neat thing.