How do I use the Daz setup tool if my mesh is not devided in groups. It is one big mesh. Is the only way to cut up my mesh and group them together again. Me and my mesh don't like cutting.

It's really not a requirement of the Figure Setup Tool, the Poser CR2 spec requires that the mesh is divided in groups. The "division" doesn't mean that you have to separate the groups. You can use Blender to create the groups, see my tutorial: http://preta3d.com/wp/archives/48

To make it clear, I have obj files.

Not sure what you mean by "not a requirement". If I want to attach left upper arm to left upper arm bone, I do need a left upper arm group for the mesh?

Blender is new to me, but it is downloaded.

Very good tutorial by the way.

OBJ files can include groups of faces. A group is basically a cluster of polygons to which you assign a name. For example, V4 has groups called lForeArm, rForArm, lShldr etc.
To create groups you load the OBJ file in a mesh editor like Blender, highlight the polygons beloging to the group and the assign the name of your chosing. You then save the OBJ with the option to preserve the groups. When you load the OBJ in the FST the tool will automatically recognize the groups and it will be able to create the bones from there.
What I meant with "not a requirement" was that the FST is not imposing that rule, it's part of Poser's standard, the FST is just following that standard. You would be required to create groups in Poser as well. With the difference that Poser's group tool is much, much more limited than what you have in Blender or other high-end modeling tools.

Cheers.

Clear. I now can move on, because I was stuck. Thanks.