Ok when it asks for the .pmd file, find it, it's in the character folder, it will recognise it. Then if it asks if you would like to find the OBJ/.obz file hit Skip, then reimport the scene, then when it asks you to find the .pmd file again, find it and then DAZ Studio will not ask for the obj file the second time and the OBJ file will load automatically.
If you don't have DAZ Studio or Poser but you've found yourself with an old copy of Eovia's / Metacreation's Carrara Studio (1.1-3), you're in luck, because you can do all your Poser file rendering from within Carrara Studio - No plug-ins required! Here are a few quick and easy steps to import, texture, and render!