It seems like your fx are being called from the wrong place. Run a test. Put an object in a blank world and in the objects folder add your fx (and the textures for it) to the SAME FOLDER as the object. Add code like this to the objects opr (mine is a trash can):
OPRP
LoadObject can1.FBX
LoadFX smoke1.fxt
LoadFX fire1.fxt
If that works you know its just a folder placement issue. To help point your objects to the correct fx you can edit the objects properties in editor like this:

1. Select object and edit properties
2. Select LoadFX command and click Edit Properties
3. open up the folder browser
4. point it to the correct folder containing your fx (and texture)
5. click Save file then Close
Hope that helps