When you saved the file as tga, you have to reassign it to the material in ZM. In ZM, just open Material Editor, select material name, switch the primary texture to your new tga file, save, export and make the ar again.
For reflections, try adding a reflection texture. Again, in Material Editor, right under the Primary Texture where it says Reflection texture, activate it and load a reflection texture (remember to put it in the texture folder first). Reflection textures cannot be just anything, they are special. You will have to search around for them. OH! There are 2 that come with Zmodeler, check its directory. Also, check some other cars' ar files. Like my RX-7 (can be found here at MM2X) has a really good one.
And if the reflections still dont appear, try calculating normals.
Finally, if all else fails, read
this.