Hi wars51,
That's because the DarkGreen.zip is a Custom Texture. So you need to unzip it into the CustomTextures folder, so you'll end up with:
C:\Return To Wonderland\CustomTextures\DarkGreen\"the 13 .jpg files"
The level (the .lv6 file) just has to be somewhere in the CustomLevels folder for instance like:
C:\Return To Wonderland\CustomLevels\LILLIE\LILLIE407.LV6
If you get it right, you should have the DarkGreen texture when you play LILLIE407.LV6 (and not the wood one).
Good luck
Mette