You should be using a feature like http://www.newvegasnexus.com/downloads/file.php?id=35935 or the identical feature from FOMM. Plus make sure that the "load loose files" box is tagged in the "Data Files" section of the main loader menu.
If those don't help, check to ensure that you haven't got a "Data" folder inside of your "Data" folder, or a "Textures" folder inside the "Textures" folder. Sometimes extracting from a mod archive can result in duplicate folders.