Im using poser 6 and when using content that I've purchased or downloaded it always wants me to locate .bum files.  I can't find any!  I even did a search on my computer for a .bum extention and found none.

What gives?

bum was the extension for a Poser 4 bump map  file.  

You might check the pp2 or cr2 file and see if you have some old stuff thats hardcoded , I thought Poser 5 and up were supposed to deal with that automatically .

Search for a .JPG of the same name.

If the item has only MAT poses setup for P4, you'll need to edit them to replace the BUM references with one to the JPG file of the same name.

It's a good idea to get into the habit of unpacking content (especially older items) into a temporary directory, so that you can check that everything is in the right place and check for bad or incorrect file references while it's easy to locate all the files that came with the item (or not as the case may be).
Once you've moved (or if you installed) everything in a large Runtime this task gets much harder.

"If the item has only MAT poses setup for P4, you'll need to edit them to replace the BUM references with one to the JPG file of the same name."

How do I do this?

Vicky 4 has a nice bum. :)

Quote - "If the item has only MAT poses setup for P4, you'll need to edit them to replace the BUM references with one to the JPG file of the same name."

How do I do this?

Use a text editor to replace ".bum" with ".jpg"
Most MAT files are quite small so you should be able to use WordPad (or the Mac equivalent) without difficulty.
Work on a copy of the file until your sure it's working right and watch out for instances where the BUM file has actually been supplied (not encountered that often, but it will save the annoyance of having to go back and alter the file again).