Hello! I haven't played Creatures 2 as much as Creatures 1, but hopefully I'll be able to help a little bit! Either that, or someone else will come along!
I'm not sure how your system is set up, but the default setup will install C2 into your Program Files and My Documents. To install COBs, try to locate the following directory:
C:/Programs Files/GOG.com/Creatures Albian Years/Creatures 2/Objects
This is where all .cob files should be placed in order to use them in the game. Some include additional files, which should be placed in the appropriate places. For example, .wav files should go in Sounds and .s16 files should go in Images.
Please let me know if that works! If not, I'll be happy to try to dig in a little further. A few other details might also be helpful, such as the exact COBs you're trying to install. Good luck!