Yes, I've had situations where Poser is looking for .bum files too or a .jpg image with "bump" in it, but there aren't any such files with the package.  As Victoria_Lee said the best way is to use a graphic program and just resave your images as a .jpg files. Then open the .pp2 file and using the "find" feature found either under "file" or "edit", and look for .bum.  Replace it with .jpg. And then resave the .pp2 file.

.bum files are for poser 4 and aren't using in Poser 5, 6 or 7.

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi