Do the files it's asking you to find have the extension ".BUM" ?
If so your using files that have been setup for P4.
Check the ReadMe that comes with whatever item your trying to load, and it should tell you which ".JPG" file would need to be converted (by P4) and use that instead.
Newer items tend to come with sets of MAT poses for P4, PP and / or P5, so if the items you have only have ones for P4, the only permenant fix is to change the extension in the file in question with a text editor.