Bryce doesn’t use external content - it’s all internal to Bryce and that’s where it’s loaded from.
After you unzip each file (they can go anywhere) if they have an extension of:
.OBP - click the little triangle next to the word “Create” (top of Bryce interface), select a category, select Import and navigate to the .OPB file, Hit OK.
.MAT - triangle next to “Edit”
.BSK - triangle next to “Sky&Fog;”
.BR extension are scene files and are accessed with the File>“Open” menu item.