These don't really discuss Poser's Setup Room, unfortunately:

Creating a Poseable Gingerbread Man, by twillis

Creating New Poser Figures, by ScottA (downloadable file)

Making Poser Figures -- Part 1 and Part 2, by Steve Shanks

Making Poseable Figures in the Hierarchy Editor, by Richard Hatch

Poser Figure Creation Tutorial, by HawkinZ GraFX

Additional Poser tutorials -- Creating a Posable Figure with a PHI File, Creating a Very Basic Figure in Poser