For example, I have seen files with a .pz2 extension that supposed to be poses but instead are props, accessories, bodies, faces, eye colors, skin, etc. They are labeled that way and I cannot open them when I click on them on the poser library. Am I supposed to convert these files for them to work? If so, how can I do that? 

PZ2 are poses files, MATPose files and Morph files.  Depending on their associated icons in the Library, they will either pose a figure, change the color of a figure (i.e., clothing or skin), or apply a morph or morph dials.

Quote - .pz2 extension that supposed to be poses but instead are props, accessories, bodies, faces, eye colors, skin, etc.

The pz2 files are never props, but they can be some of the other things you mention. pz2 files are used to inject data into a prop, figure, or other Poser item. pz2 (pose) files have many uses apart from the main function of injecting 'keys' values into rotation and translation channels. They can inject values into MORph channels (MOR poses), they can inject actual morph deltas (Delta Injection or "INJ" poses), they can inject settings for MATerials (MAT Poses), they can inject geometry, and quite a few other things.

Quote - They are labeled that way and I cannot open them when I click on them on the poser library. Am I supposed to convert these files for them to work? If so, how can I do that?

They don't need any conversion. Some pz2 files are meant to be used on specific figures only, and will either not produce the desired results, or will not work at all, when used on the wrong figure. If the pz2 files came with content that you bought, often the accompanying readme file will explain their use.

I guess the problem is that I am not applying them to the right figures and their functions didn't seem clear. They were supposed to be poses but were named as objects, face, eyes, clothing etc.

You can open those files in a text editor.

mat poses have a material definition, morph poses have the names of the morphs, inj poses will have a readscript or a list of deltas for a body part and poses will have the body part names and rotation or translate values.