Okay, I've been asked this many times and so here it is by popular demand: a list of what files go where in Poser.
CR2





PP2





HR2





PZ2



RSR
These are character files.  They go into the libraries\characters folder under any folder you wish.
These are prop files.  They go into the libraries\props folder under any folder you wish.
These are hair files.  They go into the libraries\hair folder under any folder you wish.
These are pose files.  They go into the libraries\poses folder under any folder you wish.
OBJ
I saved this file type for last because there are special circumstances involving the types of files these are and can be.  In essence, these are geometry files and contain mesh data.  This type of file can be a model/prop, a morph target, or the base geometry of a character file.  If your OBJ file is a model or morph target, you may store them anywhere you want but keep in mind you will need to know where you store them when you need to use them again.

Alot of times, this file is the base geometry for a character file and then the location of that file becomes critical and even it's folder location name is case sensitive and requires proper capitalization in order to work properly.  When you download a character file, there is usually a text file or a readme file that explains where this file goes.  Often enough, a zip file contains folder information in the paths.  If you still cannot determine where the file goes because of a lack of a readme file or the person who compressed the zip did not save the folder location paths, there is another way to determine where to put the file.  Open up the corresponding CR2 file using a text editor of your choice (ie, wordpad or notepad).  Be careful not to make changes to the CR2 and if you accidently DO make a change, do NOT save the file with the changes intact.  When you open the CR2 file, somewhere along the top dozen lines or so will be the name of the OBJ file and it's location.   This location is where the CR2 will look to find the OBJ file. 
These are the tiny thumbnail images that get displayed in your libraries and go into whatever folder the associated CR2, PP2, HR2, or PZ2 is located.  They aren't absolutely necessary for use of the associated item and a default thumbnail showing a figure in a shrugging position will be displayed if this file isn't found.  However, having thumbnail images of the item makes it very helpful in finding a particular item for use and gives a preview of what it looks like.