You can open the file in a text editor and find the relative path for the jessi.obj.  I am not at my home computer, which has PP2010, to verify the correct information.  However, you can conduct a file search for either jessi.obj or jessi.obz, the compressed version.  If it finds just the obz, then you will need to uncompress this file.

BTW, in the future, state which OS you are using.  Currently, Vista and Windows 7 will cause read/write problems if Poser is installed into the Program Files folder.