In the Rendering menu, click materials/map browser, and then Scene. With your material editor open at the same time, drag "mtl car_cmx (Multy/Sub Object) blah" from the materials/map browser onto one of the blobs. Choose instance when it asks you.
Now that blob should contain about 15 different things, each one a different section of the car (2 for steering wheel, the wheels, the glass, the skin, the interior and the tyres).
Then you should be able to follow the tutorial about changing the material ID of the rims of the wheel to the same as the wheel center, and bob's your uncle.
I'd say add me to MSN and I'll help, but I've had a number of rude idiots add me recently who are too lazy to learn on their own, so I have withdrawn any rendering help services until further notice (that is until you done a decent render, then I'll gladly discuss with you how you can make it better).