A .lyr file points to a given feature class either as a shape file or a feature class within a personal geodatabase. Additionally, a .lyr file provides symbology as well, so if you have a something like a roads.lyr it points to the line feature class of roads (somewhere) and symbolizes them as you set them up in the .lyr.
So, again, I don't use the ESRI provided data, so I don't know what they ship; my guess is they are shape files. Where did the .lyr files come from?
You mentioned that you were trying to create a geocoding locator earlier, so I assumed you knew how. I create mine in ArcCatalog. Scroll down the left side table of contents, and click on Address Locators: then click on Create New Address Locator. From there you fill in the blanks, first selecting the type of locator you want to build, specifiy the matching feature file, etc, etc...