This is my setup in P12, not any different than P11 with the exception of a few items and features that I will not get into. Left-click on Files and the contextual menu will open, listing all your options and functions. You go down the list to Import and highlight it with your cursor, another contextual menu will appear. Go down that second list and select Wavefront OBJ....

The Import Options window will open and it is here that you will find all the selectable options to bring in your model.

If the default settings do not bring in the model, load a new scene into Poser, or restart it, and go through the process again changing one option as you proceed. Hopefully, you'll hit the right combination.

As for the zip file itself, you should unzip the content into a folder where you can find it easily, perhaps the desktop. When you go to import the model in Poser, navigate to that folder and select the main OBJ of the model.