Look in the Poser Scripts menu.

Scripts > Utility > collectSceneInventory

You'll be given the option to either save all the required files to a folder or to just list out all the files being used by the scene.

If it is a Poser figureprop etc that you have created and wish to make up a user friendly distribution zip then this tutorial will help.
http://www.philc.net/WinZip_tutorial2.php

Current versions of Windows allow you to create a compressed folder so you do not need Winzip, but the principles are the same.

Hope that helps.