Texture requirements come in powers of 2, so with that size, your graphics card will have to support 2048x2048. Unless you have a very old graphics card, you most likely can support that.
First off, make sure the file exists and that the casing is correct. Whatever program you used to save the file may have saved it in a nonstandard format. Unlikely, but it does happen. In which case, you can try saving it as a simple bitmap (*.bmp).