Well, the problem is that different SatNavs from different manufacturers differ in where they store and organise things. You've not told us what make/model you have, so its a little tricky to give advice on where you stick the files. We'd need someone with one of every possible one on the market to check out where things go to write a comprehensive HowTo.
Some advice though....
Connect your SatNav to the computer, then have a browse round the directories that exist and find where the existing POI's and files (which will carry the same file extensions as Jim's bouldering POI's) are currently located. Stick the bouldering POI's in there.
Note also that its highly
unlikely to actually damage the SatNav by placing them in the wrong place, all you'll find is that you can't use the POI's if you put them in the wrong place. Don't be afraid to play around and experiment.
If in doubt
for the SatNav you have, it will (well it should) tell you where to place them. If it doesn't see if you can find a forum for the SatNav you have and ask (whilst specifying the make and model of your SatNav, naturally) where they should be placed (or provide the same information here).