.unr files are maps.
.umx files are music.
.utx files are textures.
.uax files are sounds.
.u files are normally UnrealScript files though they can contain other stuff...
When you use any package in a map, say texture out of a texture pack, that file gets associated with the map. If it's a custom made file, it has to be put on the server with other files. Now, if you can imagine 1000's of maps in your Maps folder... and you only want to use 100 best on your server, how do you find the right files for the 100 maps?
That's what this program tells you