How are your settings when you export your model and as which format do you export? I use .fbx. and put a hook on import/ export material.
But basically you can just create a new material and drag and drop it on your models material slot, if you unwrapped your texture the way it shoud be, you will be able to edit this material just the way you would be able to edit one that appeared while importing the model. So just create a new material, import the maps you got from CrazyBump and then work with them in the material editor similar to the way you do in blender.
So how are your steps and what do you see when you import a model in the content browser?