Welcome. In this tutorial I want to let you have a look into the way I textured the scene below.
I wish to concentrate on two techniques that will serve you well on plenty of different occasions.
This image was created using 3D Total's TotalTextures-CD's - a quality collection of high-resolution texture maps.
First, I created a spline, as you can see in white in the image below.
Make sure that the beginnings and ends are welded, so you will not run into problems later on.
It's easy to find what's wrong in a simple model like this, but it's a good routine to weld the end points, before you get lost in a more complex model. Once it was done, I created a small plane and placed it in the same level plane with the spline, so it's not in the front of it, nor behind.
Secondly, I extruded my spline. With the amount you can control the thickness of the wall.
Then I dropped a UVW modifier on each piece for texturing (plane for the plane and box for the wall, makes sense, right?)
I used only 3DTotal maps in this image.... as you can see a brick and another wall color did the job just fine.
I gave a good amount of bump to each texture and lowered the Blur, which makes the surfaces look really rough.
If you place the light in a good angle, it will show even more. You have to play with it a little bit.
And this completes the general idea of how the wall was made. I recommend this way of creating holes on a wall in Max, since Max's boolean operation is a nightmare, but of course it works in all other packages as well. :)