If anyone has a problem with getting some mod to work, this tutorial is good for him.
First reason for that can be not ticked ‘True Color’ option. Open file Setup.exe, look for ‘True Color’ option and tick it. Mod cannot work if the following options are not ticked, too – they’re ‘Low detail level’ and ‘Compressed’. They shouldn’t be ticked if you want to see textures correctly. However, on weak computers they should be ticked to have fluent game speed.
Second (and I hope the last one) reason could be original (not modified) rw_data.dll file. To make things good, it’s recommended to use Mafia Data Extractor. Launch the tool and when it asks to patch that file, click ‘Yes’ and from now on, everything should be alright.