Objects bought at Cornucopia are made for use in Vue, so they either come with Vue materials and Vue shaders, texture maps, or a mix of both.
If you want to use them in another program, you need to buy the non copy protected version, and Vue Infinte or xStream to export it. read well the product description, some models cannot be exported, even if you get the non copy protected version. Some objects are also available in various 3d formats for the non copy protected version.
Objects bought in other stores should load correctly if they are in a format Vue can read, and if textures are provided with the model.
Obj will import in Vue, but if the object you bought didn't come with an .mtl file, Vue will not be able to texture the object, you will have to do so yourself if the textures are provided.