If you go blindly copying and pasting code from random sources, then they are not guaranteed to work. I highly recommend understanding how the code works before actually throwing it in your project. It will save you much hassle. You sound like you are very new to OpenGL (please correct me if I'm wrong). If that's true, I strongly believe you are better off writing your own code to get a good understanding of what is going on. You cannot rely on someone else's code all the time, and it's best to learn to walk on your own two feet at some point, even if you have to crawl first.
Now, I'm assuming that you're using Microsoft Visual Studio C++ as your compiler/IDE, right? My recommendation to you is to insert a breakpoint before your call to m_Model->Initialize(). Start debugging, then when your breakpoint is hit, step into that function and follow it until you find out what's causing it to fail. If you don't know how to use breakpoints, or don't know what a breakpoint is, read this: http://msdn.microsoft.com/en-us/library/ktf38f66(v=vs.71).aspx
Lastly, I don't mean to sound like a douchebag, but did you even read the code you've copied and pasted? I took a look at the tutorial page you linked to and I'm 99.9% sure that the problem is with your .tga file isn't found. If you're launching your .exe from Visual Studio, then you might need to change your working directory in the project settings. And changing the directory with SetCurrentDirectory doesn't look necessary to me. Reading from the wrong directory is likely your problem.
This is my advice to you. Maybe I'm wrong, but you seem rather new to C++, Win32 programming and Visual Studio .net. If this is true, please tell us so we can point you in the right direction so you can learn more!