Make sure you select File > Save Playback Files on your sequencing computer first. See the process flowchart here:
The files that are needed on the show computer will be the .play.lms and/or .play.las files, as well as any file with a .pe.lid file extension.
When you create a show, you will schedule the playback files (.play.lms).
The default directory when opening a sequence is the Light-O-Rama\Sequences directory. By default the Light-O-Rama directory is a subfolder in your Documents (or My Documents) folder. You can change the location of the Light-O-Rama folder by selecting Tools > Change User Data Directory. This will copy all of your sequences and data to the new location you specify. Think carefully about the location - this is not an operation you want to perform frequently.