Hm, that depends. If you're using several diffuse (=color) textures on one model, that won't work. hpl doesn't support multiple materials per mesh as far as I know, you can only have one texture map of every kind. (So, you couldn't for example use one jpg. for one half of the model and another one for the other half.)
If you mean that you have a diffuse, a specular and a normal map, however, they simply go all in the same folder. When you create your .mat file, you'll have the option of adding the normal and spec map to your material there.
Also CGPersia is a very useful page. But be careful that you don't download anything illegal by accident! *coughcough*
A free alternative to photoshop would also be GIMP. I think it has a dds plugin, too.