I think what you have to do is create a material in the hypershade box, then select the faces you want to apply it to, right click and hold on your material, then select "Assign material to selection"
Basically what gster123 said. You'd use the hypershade though. You can get that through... I think it's... Windows > Rendering editors > Hypershade ? That might not be right, but it's something like that.