Object textures in one file?

I've seen that the sample 3ds objects have a single .jpeg for their textures. How is this done?

Texture mapping (aka. UV coordinates.) It's a pretty standard technique for 3D art. Basically you setup a mapping of polygons to areas of the texture image, defining what parts of the image on which polygons. Search Google for tutorials; try searching for "[your specific 3D app] texture mapping."

Some link where you can see your single .jpg in action ;) :
http://www.uvmapper.com/
http://www.delaflor.com/uvtutorial2.html
http://www.unwrap3d.com/
http://www.ggaliens2.com/docs/extremeuv.html

good job.