Poser 4 uses .BUM format files for bump maps, while Poser PP uses jpg. To convert a jpg bum file into .bum format you need to go to the material settings in Poser. Under bump map, click to search for the jpg bum files and load these. You will get a question of you want to convert them to BUM, click yes on this. When you've done that will all the bum files, you can use the P4 MATs and you will have everything loaded correctly.

About that "any old item" I think it means that you can load these bump maps for any object/figure in Poser, it doesn't matter what you apply it to since you're only doing this step to get the jpeg converted to bum.