I'm guessing the OP knows the answer to this question by now, but for anyone else: the character of Lady Gaga is a morph/mat set that you apply to the figure of Victoria 4.2 (available for purchase from the Daz3D store). That's why the character files are in .PZ2 (pose/morph INJ/mat pose) format. You can use those to apply the character to V4 in either Poser or DAZ Studio. 

So there is no OBJ that can be exported from the downloaded character files. If you don't have V4 instealled in either Poser or DS, then nothing in the download will be of use to you.