I went to click on Iron War Axe, because I was going through the steps of this toturial on how to change the skin/texture/whatever. I clicked on Weapons, and this is the only one.

Is it supposed to be like this, or what?

Looks like you haven't loaded the Morrowind master file that has all the content in it.

Go to File -> Data Files, check the box next to Morrowind.esm by double-clicking it and then press "Ok" to load the file.

Thanks. That was actualy really easy.