materials are created and configured in materials browser. they can be assigned onto objects and polygons. each material can be configured to utilize several textures including main texture, secondary layer, mask (dirt/scratch/damage/snow/burn etc.), bump-map, specularity map, reflection map and so on. Textures browser is a set of textures loaded, you can add/remove/replace textures there. Loading a texture in textures browser does not make any specific changes in materials or in scene.
The video shows a specific case, when ZModeler2 .z3d file was loaded and materials have been loaded with no textures configured on them. Converting these materials into "shader materials" makes them to become "ready to use" and pre-configured (loader makes some preparations on loading old .z3d files, as later "conversion" is expected). However, materials are still not look good, as textures are missing. When you load texture images, each "missing" texture get a correct texture instead (where matched) and is moved onto materials that have been waiting for each particular texture map.
When you load your own texture, it is just loaded into texture browser. No materials have been waiting for it, so nothing happens in a scope of materials.