"I am a Gamer.
Not because I don't have a life,
but because I choose to have many."
I have been following that and I got to the part at paintnet. I don't understand what to do there, I renamed the textures and now I need to edit them? What specifically do I need to do with the "edits" and how do I export those textures?
That depends on what do you mean by export.
Keep in mind that the tutorial was written for XNA with the Blender being a midpoint.
In most cases if you only want to use Blender you can use textures as they are from the game (assuming you will link them in the correct way in Shader menu)