Exactly what Millinghost said. If you haven't linked to this external runtime, Poser will ask you to locate the files every time. It must either be installed to an existing linked runtime or the runtime must be linked from the library window.

Also, PZ3's are the worst possible way to distribute characters. You should use Poser PZ2 files to load the character onto a base figure. Is this an original character you created? If so then it should be a figure in the Figures library.