The game files are packed in strange formats, but they are scattered through all the game directories!
You can find the models and textures in all these directories:
All the useful files can be opened with "piecemontee SF4 explorer", it's east to find it through Google.
Open it, set the correct endianess under File in the menu, and now you can open what you want!
.obj.emo files are the 3d models, .nml.emb and .col.emb are the textures.
Some of the textures uses a particular "trick" and the .obj format don't support it, but it isn't difficult to reapply the textures.
The "trick" I was talking about is used for the self-illuminated parts, sometimes the alpha channel is used as a self illumination mask, while the other channels are used as normal textures, 3ds max let's you to use these channels without splitting them, so I did that!
Another similar thing is used with the normal/bump textures, actually there are 2 normal textures, but they are in the same image!
One is obtained from the RGB channels, and the 2nd is the alpha channel of the same image, another time 3ds max lets you to use multiple normal textures, so you can apply both of 'em.