You don't open an obj file in Leo.  The Leo icon is only for creating 2D picture planes.  In order to bring in an obj file (or any other supported 3D model), you go to File/Import Object, and import it from the directory where you saved it.

Then, you can select it and save it to one of your libraries once you have gotten it to be the size, position, and texture that you like.

Could be worse, could be raining.