Pretty easy, and a couple of ways to do it, depending on how much detail you need. If you already have your guitar model, just create a spline that goes from the bridge to the tuning peg, then set it so that it's renderable, and make the thickness so that it looks right. Then duplicate it 5 times, and set the thicknesses of each string going from thicker to thinner, starting from the E string.
You can also do the same with a cylinder. Set up your cylinder so that it's parallel to the fretboard, the change the height to match the length of your guitar neck. I think it will be easier with the spline, because you can add nodes to it, so that as it crosses the slot in the nut, it often goes off at an angle to meet the tuning peg.
If you're going for total reality, you want the string wrapped around the tuning peg (the piece that comes through the neck with the hole to attach the string). In that case, you could start with a helix, with the hole in the middle set to the width of the tuning peg, then extend that spline to follow through the nut and down to the bridge.
As far as texture mapping, if you're going for round-wound strings, I'd just Google a photo of a round wound string, then use that as a reference to paint a short texture map in Photoshop, and add it to the string, with lots of tiles going the length of the string. If you're looking for gut strings, just use a plastic texture preset, and set it to a kind of bone color, unless you're going for the bright, red or blue kind of acoustic string. Once again, use Google Images to find a reference photo.